[SciPy-User] modeling GARCH process

John Hunter jdh2358@gmail....
Tue Dec 29 12:47:30 CST 2009

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?


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