A volatility process is added to a mean model to capture time-varying volatility.
Constant volatility process
GARCH and related model estimation
EGARCH model estimation
Heterogeneous ARCH process
MIDAS Hyperbolic ARCH process
Parameterless Variance Processes¶
Some volatility processes use fixed parameters and so have no parameters that are estimable.
Exponentially Weighted Moving-Average (RiskMetrics) Variance process
RiskMetrics 2006 Variance process
FixedVariance class is a special-purpose volatility process that allows the so-called zig-zag algorithm to be used. See the example for usage.
Fixed volatility process
Writing New Volatility Processes¶
All volatility processes must inherit from :class:VolatilityProcess and provide all public methods.
Abstract base class for ARCH models.