[SciPy-User] modeling GARCH process

josef.pktd@gmai... josef.pktd@gmai...
Tue Dec 29 13:34:37 CST 2009


On Tue, Dec 29, 2009 at 1:47 PM, John Hunter <jdh2358@gmail.com> wrote:
> I would like to model a time series as a GARCH process (estimate the
> parameters of a model and then generate random samples with these
> parameters).  There are numerous ways to do this in R, but I prefer
> python if possible.  I notice that Enthought teaches this in their
> Finance for Quants lectures.  Does anyone have some example code for
> modeling and simulating GARCH processes in python?

I would also like to know, I haven't seen any python GARCH so far.

I started to translate http://www.kevinsheppard.com/wiki/MFE_Toolbox
(BSD license) into python, but it is slow going and I'm running out of
Christmas break. The plan is to have a tested literal translation and
then to numpify/scipify it.

ETA: half a year.

Josef


>
> Thanks,
> JDH
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