Volatility Processes

A volatility process is added to a mean model to capture time-varying volatility.

ConstantVariance()	Constant volatility process
GARCH([p, o, q, power])	GARCH and related model estimation
FIGARCH([p, q, power, truncation])	FIGARCH model
EGARCH([p, o, q])	EGARCH model estimation
HARCH([lags])	Heterogeneous ARCH process
MIDASHyperbolic([m, asym])	MIDAS Hyperbolic ARCH process
ARCH([p])	ARCH process

Parameterless Variance Processes

Some volatility processes use fixed parameters and so have no parameters that are estimable.

EWMAVariance([lam])	Exponentially Weighted Moving-Average (RiskMetrics) Variance process
RiskMetrics2006([tau0, tau1, kmax, rho])	RiskMetrics 2006 Variance process

FixedVariance

The FixedVariance class is a special-purpose volatility process that allows the so-called zig-zag algorithm to be used. See the example for usage.

FixedVariance(variance[, unit_scale])

Fixed volatility process

Writing New Volatility Processes

All volatility processes must inherit from :class:VolatilityProcess and provide all public methods.

VolatilityProcess()

Abstract base class for ARCH models.