All ARCH models start by specifying a mean model.
Model with zero conditional mean estimation and simulation
Constant mean model estimation and simulation.
Autoregressive model with optional exogenous regressors estimation and simulation
Heterogeneous Autoregression (HAR), with optional exogenous regressors, model estimation and simulation
Least squares model estimation and simulation
(G)ARCH-in-mean models allow the conditional variance (or a transformation of it) to enter the conditional mean.
(G)ARCH-in-mean model and simulation
Not all volatility processes support application to AIM modeling. Specifically, the property
updateable must be
In : from arch.univariate import GARCH, EGARCH In : GARCH().updateable Out: True In : EGARCH().updateable Out: True
Writing New Mean Models¶
All mean models must inherit from :class:ARCHModel and provide all public methods. There are two optional private methods that should be provided if applicable.
Abstract base class for mean models in ARCH processes.