Version 3

  • Added forecast code for mean forecasting

  • Added volatility hedgehog plot

  • Added fix to arch models which allows for user specified parameters instead of estimated parameters.

  • Added Hansen’s Skew T distribution to distribution (Stanislav Khrapov)

  • Updated IPython notebooks to latest IPython version

  • Bug and typo fixes to IPython notebooks

  • Changed MCS to give a pvalue of 1.0 to best model. Previously was NaN

  • Removed hold_back and last_obs from model initialization and to fit method to simplify estimating a model over alternative samples (e.g., rolling window estimation)

  • Redefined hold_back to only accept integers so that is simply defined the number of observations held back. This number is now held out of the sample irrespective of the value of first_obs.