[SciPy-User] modeling GARCH process

josef.pktd@gmai... josef.pktd@gmai...
Tue Dec 29 14:34:39 CST 2009


On Tue, Dec 29, 2009 at 3:04 PM, Skipper Seabold <jsseabold@gmail.com> wrote:
> 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.

Checking the license again for the MFE toolbox, it seems I was
mistaken that MFE is BSD licensed. The previous version, UCSD Garch
has BSD style license http://www.kevinsheppard.com/wiki/License but
not MFE.
So I might have to drop MFE and switch to UCSD Garch, which has many
functions very similar but not as clean as the MFE version.

5 days of fun partially down the drain, oh well.

Josef



> -Skipper
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