Metadata-Version: 2.0
Name: arch
Version: 2.0
Summary: ARCH for Python
Home-page: http://github.com/bashtage/arch
Author: Kevin Sheppard
Author-email: kevin.sheppard@economics.ox.ac.uk
License: NCAA
Keywords: arch,ARCH,variance,econometrics,volatility,finance,GARCH
Platform: UNKNOWN
Requires-Dist: Cython (>=0.20)
Requires-Dist: matplotlib (>=1.2)
Requires-Dist: scipy (>=0.12)
Requires-Dist: patsy (>=0.2)
Requires-Dist: statsmodels (>=0.5)
Requires-Dist: numpy (>=1.7)
Requires-Dist: pandas (>=0.12)

|Documentation Status| |CI Status| |Coverage Status|

ARCH
====

This is a work-in-progress for ARCH and other tools for financial
econometrics, written in Python (and Cython)

What is in this repository?
---------------------------

-  Univariate ARCH Models

   -  Mean models

      -  Constant mean
      -  Heterogeneous Autoregression (HAR)
      -  Autoregression (AR)
      -  Zero mean
      -  Models with and without exogenous regressors

   -  Volatility models

      -  ARCH
      -  GARCH
      -  TARCH
      -  EGARCH
      -  EWMA/RiskMetrics

   -  Distributions

      -  Normal
      -  Student's T

-  Bootstrapping

   -  Bootstraps

      -  IID Bootstrap
      -  Stationary Bootstrap
      -  Circular Block Bootstrap
      -  Moving Block Bootstrap

   -  Methods

      -  Confidence interval construction
      -  Covariance estimation
      -  Apply method to estimate model across bootstraps
      -  Generic Bootstrap iterator

Examples
--------

See the `example
notebook <http://nbviewer.ipython.org/github/bashtage/arch/blob/master/examples/examples.ipynb>`__
for a more complete overview.

.. code:: python

    import datetime as dt
    import pandas.io.data as web
    st = dt.datetime(1990,1,1)
    en = dt.datetime(2014,1,1)
    data = web.get_data_yahoo('^FTSE', start=st, end=en)
    returns = 100 * data['Adj Close'].pct_change().dropna()

    from arch import arch_model
    am = arch_model(returns)
    res = am.fit()

Documentation
-------------

Documentation is hosted on `read the
docs <http://arch.readthedocs.org/en/latest/>`__

Requirements
------------

-  NumPy (1.7+)
-  SciPy (0.12+)
-  Pandas (0.14+)
-  statsmodels (0.5+)
-  matplotlib (1.3+)

Optional Requirements
~~~~~~~~~~~~~~~~~~~~~

-  Numba (0.14+), only required if installing using --no-binary

Installing
~~~~~~~~~~

-  Cython (0.20+)
-  nose (For tests)
-  sphinx (to build docs)
-  sphinx-napoleon (to build docs)

Installing
----------

Setup does not verify requirements. Please ensure these are installed.

Linux/OSX
~~~~~~~~~

::

    pip install git+git://github.com/bashtage/arch.git

**Anaconda**

*Anaconda builds are not currently available for OSX.*

::

    conda install -c https://conda.binstar.org/bashtage arch

Windows
~~~~~~~

**With a compiler**

If you are comfortable compiling binaries on Windows:

::

    pip install git+git://github.com/bashtage/arch.git

**No Compiler**

All binary code is backed by a pure Python implementation. Compiling can
be skipped using the flag ``--no-binary``

::

    pip install git+git://github.com/bashtage/arch.git --install-option "--no-binary"

*Note that it isn't possible to run the test suite. It will fail if
installed with* ``--no-binary`` *since it tests the Numba
implementations against Cython implementations.*

**Anaconda**

::

    conda install -c https://conda.binstar.org/bashtage arch

More about ARCH
---------------

More information about ARCH and related models is available in the notes
and research available at `Kevin Sheppard's
site <http://www.kevinsheppard.com>`__.

Contributing
------------

Contributions are welcome. There are opportunities at many levels to
contribute:

-  Implement new volatility process, e.g FIGARCH
-  Improve docstrings where unclear or with typos
-  Provide examples, preferably in the form of IPython notebooks

.. |Documentation Status| image:: https://readthedocs.org/projects/arch/badge/?version=latest
   :target: http://arch.readthedocs.org/en/latest/
.. |CI Status| image:: https://travis-ci.org/bashtage/arch.svg?branch=master
   :target: https://travis-ci.org/bashtage/arch
.. |Coverage Status| image:: https://coveralls.io/repos/bashtage/arch/badge.png?branch=master
   :target: https://coveralls.io/r/bashtage/arch?branch=master


