Changelogs » Mgarch

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Mgarch

0.2.0


        

0.1.5


        

0.1.4

Multivariate GARCH
  
  DCC-GARCH(1,1) volatility method for financial log returns. The distribution under the Normal Dist assumption.
  
  Use case:
  python
  from mgarch import mgarch
  rt = (t, n) numpy matrix with t days of observation and n number of assets.
  vol = mgarch()
  vol.fit(rt)
  cov_nextday = vol.predict()

0.1.3

Multivariate GARCH
  
  DCC-GARCH(1,1) volatility method for financial log returns. The distribution under the Normal Dist assumption.
  
  Use case:
  python
  from mgarch import mgarch
  rt = (t, n) numpy matrix with t days of observation and n number of assets.
  vol = mgarch()
  vol.fit(rt)
  cov_nextday = vol.predict()