[SciPy-User] modeling GARCH process
Tue Dec 29 13:55:11 CST 2009
On Tue, Dec 29, 2009 at 1:34 PM, <firstname.lastname@example.org> wrote:
> On Tue, Dec 29, 2009 at 1:47 PM, John Hunter <email@example.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.
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