Volatility Processes¶
A volatility process is added to a mean model to capture time-varying volatility.
Constant volatility process |
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GARCH and related model estimation |
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FIGARCH model |
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EGARCH model estimation |
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Heterogeneous ARCH process |
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MIDAS Hyperbolic ARCH process |
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ARCH process |
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Asymmetric Power ARCH (APARCH) volatility process |
Parameterless Variance Processes¶
Some volatility processes use fixed parameters and so have no parameters that are estimable.
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Exponentially Weighted Moving-Average (RiskMetrics) Variance process |
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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.
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Fixed volatility process |
Writing New Volatility Processes¶
All volatility processes must inherit from VolatilityProcess
and provide
all public methods.
Abstract base class for ARCH models. |
They may optionally expose a
VolatilityUpdater
class
that can be used in ARCHInMean
estimation.
Base class that all volatility updaters must inherit from. |