[SciPy-User] modeling GARCH process

John Hunter jdh2358@gmail....
Tue Dec 29 13:55:11 CST 2009


On Tue, Dec 29, 2009 at 1:34 PM,  <josef.pktd@gmail.com> wrote:
> 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.

Wow, that would be fantastic, but I don't envy you :-)  That looks
like quite a task.

This would be a great google summer of code project if you can get it
far enough along that a dedicated student or two could finish, polish,
document and test.

JDH


More information about the SciPy-User mailing list