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

ARCH
====

This is a work-in-progress for ARCH and related models, written in
Python (and Cython)

What is this repository for?
----------------------------

-  Mean models
-  Constant mean
-  Heterogeneous Autoregression (HAR)
-  Autoregression (AR)
-  Zero mean
-  Models with and without exogensou regressors
-  Volatility models
-  ARCH
-  GARCH
-  TARCH
-  EGARCH
-  EWMA/RiskMetrics
-  Distributions
-  Normal
-  Student's T

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+)

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 will fail if
installed with* ``--no-binary``

**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>`__.

.. |Documentation Status| image:: https://readthedocs.org/projects/arch/badge/?version=latest
   :target: https://readthedocs.org/projects/arch/?badge=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


