[SciPy-User] modeling GARCH process

Wes McKinney wesmckinn@gmail....
Wed Dec 30 17:25:13 CST 2009

On Tue, Dec 29, 2009 at 3:48 PM, Skipper Seabold <jsseabold@gmail.com> wrote:
> On Tue, Dec 29, 2009 at 3:34 PM,  <josef.pktd@gmail.com> wrote:
>> 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.
> Maybe he would make an expressed exception?  And come to think of it,
> is this enough for inclusion under BSD-style?  Though I understand the
> basics and the spirit behind the more popular licenses, a lot of the
> licensing stuff is beyond me wrt what it actually means, practically
> speaking.  I definitely err on the side of caution though, and I've
> had pretty good luck getting expressed permission or licenses changed
> at least for the stuff I've wanted to use for statsmodels.  Easier to
> write an email than start over...
> Skipper
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+ 1, I would be interested in contributing to the porting effort in
that case that the author will agree to a BSD-style license.

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