API Reference¶
This page lists contains a list of the essential end-user API functions and classes.
Volatility Modeling¶
High-level¶
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Initialization of common ARCH model specifications |
Mean Specification¶
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Constant mean model estimation and simulation. |
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Model with zero conditional mean estimation and simulation |
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Heterogeneous Autoregression (HAR), with optional exogenous regressors, model estimation and simulation |
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Autoregressive model with optional exogenous regressors estimation and simulation |
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Least squares model estimation and simulation |
Volatility Process Specification¶
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GARCH and related model estimation |
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EGARCH model estimation |
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Heterogeneous ARCH process |
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FIGARCH model |
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MIDAS Hyperbolic ARCH process |
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Exponentially Weighted Moving-Average (RiskMetrics) Variance process |
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RiskMetrics 2006 Variance process |
Constant volatility process |
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Fixed volatility process |
Shock Distributions¶
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Standard normal distribution for use with ARCH models |
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Standardized Student's distribution for use with ARCH models |
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Standardized Skewed Student's distribution for use with ARCH models |
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Generalized Error distribution for use with ARCH models |
Unit Root Testing¶
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Augmented Dickey-Fuller unit root test |
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Elliott, Rothenberg and Stock's ([1]_) GLS detrended Dickey-Fuller |
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Phillips-Perron unit root test |
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Zivot-Andrews structural-break unit-root test |
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Variance Ratio test of a random walk. |
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Kwiatkowski, Phillips, Schmidt and Shin (KPSS) stationarity test |
Cointegration Testing¶
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Test for cointegration within a set of time series. |
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Test for cointegration within a set of time series. |
Cointegrating Relationship Estimation¶
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Canonical Cointegrating Regression cointegrating vector estimation. |
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Dynamic OLS (DOLS) cointegrating vector estimation |
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Fully Modified OLS cointegrating vector estimation. |
Bootstraps¶
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Bootstrap using uniform resampling |
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Bootstrap where each input is independently resampled |
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Politis and Romano (1994) bootstrap with expon distributed block sizes |
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Bootstrap using blocks of the same length with end-to-start wrap around |
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Bootstrap using blocks of the same length without wrap around |
Block-length Selection¶
Estimate optimal window length for time-series bootstraps |
Testing with Multiple-Comparison¶
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Test of Superior Predictive Ability (SPA) of White and Hansen. |
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Model Confidence Set (MCS) of Hansen, Lunde and Nason. |
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StepM multiple comparison procedure of Romano and Wolf. |
Long-run Covariance (HAC) Estimation¶
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Bartlett's (Newey-West) kernel covariance estimation. |
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Parzen's kernel covariance estimation. |
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Parzen's Cauchy kernel covariance estimation. |
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Parzen's Geometric kernel covariance estimation. |
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Parzen-Reisz kernel covariance estimation. |
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Quadratic-Spectral (Andrews') kernel covariance estimation. |
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Tukey-Hamming kernel covariance estimation. |
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Tukey-Hanning kernel covariance estimation. |
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Tukey-Parzen kernel covariance estimation. |