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ROADMAP: Future plans #351

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7 of 14 tasks
bashtage opened this issue Feb 18, 2020 · 2 comments
Open
7 of 14 tasks

ROADMAP: Future plans #351

bashtage opened this issue Feb 18, 2020 · 2 comments
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enhancement help wanted roadmap

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@bashtage
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bashtage commented Feb 18, 2020 •
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Some planned additions. No specific time for completion.

  • Patton-Politis-White Bandwidth Selection for Time-Series Bootstraps
  • Engle-Granger Cointegration Testing
  • Phillips-Ouliaris Cointegration Testing
  • Dynamic OLS Cointegration Vector Estimation
  • FM OLS Cointegration Vector Estimation
  • CCR Cointegration Vector Estimation
  • Reduced memory in simulation-forecasting
  • GARCH-X and EGARCH-X
  • VAR-HAC
  • Pre-whitened Recolored Long-run covariance estimation
  • Univariate MA Mean Model
  • Generalized lag GARCH models (e.g., lag 2 but not 1)
  • General support for variance targetted estimation
  • Multivariate GARCH
@bashtage bashtage pinned this issue Feb 18, 2020
@itsNH98
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itsNH98 commented Apr 11, 2023

Available to work on the Multivariate GARCH if it is still on the Roadmap

@elvinwangyh
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There is an implementation for DCC-GARCH in Python, perhaps you can join the effort https://github.com/Topaceminem/DCC-GARCH .

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@bashtage @itsNH98 @elvinwangyh