[SciPy-User] modeling GARCH process

Skipper Seabold jsseabold@gmail....
Tue Dec 29 14:04:10 CST 2009


On Tue, Dec 29, 2009 at 2:55 PM, John Hunter <jdh2358@gmail.com> wrote:
> 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.
>

Maybe faster for at least a rough pass, if you get some help with the
time series stuff ;)

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

I'll also be helping out with this most likely in the coming months,
as it looks like I'll be doing time series specific coursework.

>
> 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.
>

Very much agree with this.  There are more than few projects that
could be good for interested students as far as stats and statistical
modelling go.

I know this has come up already, but do we have a wiki page for
proposed GSoC 2010 projects?  Better sooner than later probably.

-Skipper


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