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Recent Releases of https://github.com/bashtage/arch

https://github.com/bashtage/arch - Release 7.2

This is a bug fix and documentation release:

  • Fixed a number of bugs that affect ARCHModelFixedResult.
  • Improved documentation of the correct format of exogenous variables when forecasting.

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Published by bashtage over 1 year ago

https://github.com/bashtage/arch - Release 7.1

This is a minor release that fixes one unlikely to encounter bug and improves the documentation.

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Published by bashtage over 1 year ago

https://github.com/bashtage/arch - Release 7.0.0

  • Full compatability with NumPy 2
  • Improved compatability with future changes in pandas 3.
  • Increases in related minimum requirements.

[!NOTE] In order to use NumPy 2, the environment must consist of packages that have been built against NumPy 2.0.0rc1 or later.

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Published by bashtage about 2 years ago

https://github.com/bashtage/arch - Release 6.3

This is a performance and compatibility release.

  • Improve performance of long-run covariance estimators when numba is installed
  • Add support for NumPy 2
  • Improve compatibility with pandas

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Published by bashtage over 2 years ago

https://github.com/bashtage/arch - Release 6.2.0

This is a maintenance and bug-fix release:

  • Fixed a bug that affected forecasting from FIGARCH models #606
  • Added a performance warning when testing for unit roots in large series using a lag-length search with no-max-lag specified.
  • Changed the default value of reindex to False so that forecasts will not match the input by default. Set reindex to True if this is required.
  • Made from __future__ import reindex a no-op.
  • Updated notebooks to reflect best practices

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Published by bashtage over 2 years ago

https://github.com/bashtage/arch - Release 6.1.0

This release fixes a bug that affects forecasting when:

  • using an AR model or other model with lagged values of the dependent variable; and
  • data is rescaled.

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Published by bashtage about 3 years ago

https://github.com/bashtage/arch - Release 5.6.0

This release fixes a non-trivial bug. It is likely the final release from the 5.x branch, and has been released so that users on Python 3.8 will not be affected.

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Published by bashtage about 3 years ago

https://github.com/bashtage/arch - Release 6.0.1

This release only rolls back Cython from the 3.0.0 branch to the latest release 0.29.34. This change to allow arch to be built on conda-forge which does not have support for Cython 3.0.

  • Rollback Cython support from 3.0.0b2+ to 0.29.34+

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Published by bashtage about 3 years ago

https://github.com/bashtage/arch - Release 6.0.0

This major release makes the following changes that affect the supported configurations and build system.

  • Minimum supported Python is 3.9
  • Bumped minimum NumPy, SciPy, pandas, statsmodels and Cython
  • Removed dependence on property-cached
  • Added compatibility with Cython 3

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Published by bashtage about 3 years ago

https://github.com/bashtage/arch - Release 5.5.0

This is a compatibility release the improves compatibility with NumPy 1.25 (unreleased) and adds initial support for pandas copy-on-write behavior. There are no new features.

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Published by bashtage about 3 years ago

https://github.com/bashtage/arch - Release 5.4.0

This is a compatibility release for pandas 2.0.

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Published by bashtage about 3 years ago

https://github.com/bashtage/arch - Release 5.3.1

This release fixes some small (non-code) issues with the 5.3.0 release documentation.

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Published by bashtage almost 4 years ago

https://github.com/bashtage/arch - Release 5.3.0

This release contains two small fixes:

  • Relax an overly specific assert that causes issues downstream
  • Fix a typo in a literal type definition

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Published by bashtage almost 4 years ago

https://github.com/bashtage/arch - Release 5.2.0

This is a bug fix release that fixes two small bugs.

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Published by bashtage about 4 years ago

https://github.com/bashtage/arch - Release 5.1.0

This is an enhancement that improves the DF-GLS test. It also adds official support for Python 3.10.

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Published by bashtage over 4 years ago

https://github.com/bashtage/arch - Release 5.0.1

This is a small release that fixes a packaging issue.

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Published by bashtage almost 5 years ago

https://github.com/bashtage/arch - Release 5.0

Release 5.0 contains new features and backward-incompatible changes.

Unit Root

  • All unit root tests are now immutable, and so properties such as trend cannot be set after the test is created.

Bootstrap

  • Added seed keyword argument to all bootstraps (e.g., IIDBootstrap and StationaryBootstrap) that allows a NumPy numpy.random.Generator to be used. The seed keyword argument also accepts legacy numpy.random.RandomState instances and integers. If an integer is passed, the random number generator is constructed by calling numpy.random.default_rng The seed keyword argument replaces the random_state keyword argument.
  • The IIDBootstrap.random_state property has also been deprecated in favor of IIDBootstrap.generator.
  • The IIDBootstrap.get_state and IIDBootstrap.set_state methods have been replaced by the IIDBootstrap.state property.

Volatility Modeling

  • Added seed keyword argument to all distributions (e.g., Normal and StudentsT) that allows a NumPy numpy.random.Generator to be used. The seed keyword argument also accepts legacy numpy.random.RandomState instances and integers. If an integer is passed, the random number generator is constructed by calling numpy.random.default_rng The seed keyword argument replaces the random_state keyword argument.
  • The Normal.random_state property has also been deprecated in favor of Normal.generator.
  • Added ARCHInMean mean process supporting (G)ARCH-in-mean models.
  • Extended VolatilityProcess with VolatilityProcess.volatility_updaterthat contains a VolatilityUpdater to allow ARCHInMean to be created from different volatility processes.

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Published by bashtage almost 5 years ago

https://github.com/bashtage/arch - Release 4.19

This is a feature and bug fix release. The two key new features are:

  • The reduction in the size of the data returned when returning forecasts. This can lead to a reduction in memory allocation by factor of 1000x or more. To use the new feature, set reindex=True in forecast().
  • Forecasting with exogenous variables is not possible.

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Published by bashtage about 5 years ago

https://github.com/bashtage/arch - Release 4.18

This release fixes two issues:

  • Removes an accidental requirement on Python 3.7
  • Improves performance when fitting models

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Published by bashtage about 5 years ago

https://github.com/bashtage/arch - Release 4.17

This is a bug-fix release that fixes a bug that affects the fitted conditional variance from EWMAVariance.

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Published by bashtage about 5 years ago

https://github.com/bashtage/arch - Release 4.16.1

This is a version bump release to allow wheels to be rebuilt. There are not significant changes from 4.16.

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Published by bashtage over 5 years ago

https://github.com/bashtage/arch - Release Candidate for 4.16.1

This is a release candidate for a fixed 4.16.1 build

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Published by bashtage over 5 years ago

https://github.com/bashtage/arch - Release 4.16

This is a feature and big-fix release:

  • Added APARCH volatilty process.
  • Added support for Python 3.9 in pyproject.toml.
  • Fixed a bug in the model degree-of-freedom calculation.
  • Improved HARX initialization.

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Published by bashtage over 5 years ago

https://github.com/bashtage/arch - Release 4.15

This is a minor release with doc fixes and other small updates.

The only notable feature is PhillipsPerron.regression which returns regression results from the model estimated as part of the test.

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Published by bashtage almost 6 years ago

https://github.com/bashtage/arch - Release 4.14

This is a feature and bug release.

New Features

Major

  • There are two major new features: long-run covariance estimation and cointegration analysis
    • Added Kernel-based long-run variance estimation in arch.covariance.kernel. Examples include the arch.covariance.kernel.Bartlett and the arch.covariance.kernel.Parzen kernels. All estimators support automatic bandwidth selection.
    • Added Engle-Granger (arch.unitroot.cointegration.engle_granger) and Phillips-Ouliaris arch.unitroot.cointegration.phillips_ouliaris) cointegration tests
    • Added three methods to estimate cointegrating vectors: arch.unitroot.cointegration.CanonicalCointegratingReg, arch.unitroot.cointegration.DynamicOLS, and arch.unitroot.cointegration.FullyModifiedOLS.

Minor

  • Issue warnings when unit root tests are mutated. Will raise after 5.0 is released.
  • Improved exceptions in arch.unitroot.ADF, arch.unitroot.KPSS, arch.unitroot.PhillipsPerron, arch.unitroot.VarianceRatio, and arch.unitroot.ZivotAndrews when test specification is infeasible to the time series being too short or the required regression model having reduced rank.

Bugs Fixed

  • Fixed a bug when using "bca" confidence intervals with extra_kwargs.
  • Fixed a bug in arch.univariate.SkewStudent which did not use the user-provided RandomState when one was provided. This prevented reproducing simulated values.

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Published by bashtage about 6 years ago

https://github.com/bashtage/arch - Release 4.13

  • Restore the vendored copy of property_cached which is required to build conda packages

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Published by bashtage over 6 years ago

https://github.com/bashtage/arch - Release 4.12

  • Added typing support to all classes, functions, and methods.
  • Fixed an issue that caused tests to fail on SciPy 1.4+.
  • Dropped support for Python 3.5 inline with NEP 29.
  • Added methods to compute moment and lower partial moments for standardized residuals. See, for example, SkewStudent.moment and SkewStudent.partial_moment.
  • Fixed a bug that produced an OverflowError when a time series has no variance.

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Published by bashtage over 6 years ago

https://github.com/bashtage/arch - Release 4.11

This is a feature and bug release.

  • Added ARCHModelResult.std_resid
  • Error in bootstraps if inputs are not ndarrays, DataFrames or Series.
  • Added a check that the covariance is non-zero when using "studentized" confidence intervals. If the function bootstrapped produces statistics with 0 variance, it is not possible to studentized.

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Published by bashtage over 6 years ago

https://github.com/bashtage/arch - Release 4.10

This release contains 2 big fixes.

  • Fixed a bug in arch_lm_test that assumed that the model data is contained in a pandas Series.
  • Fixed a bug that can affect use in certain environments that reload modules.

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Published by bashtage over 6 years ago

https://github.com/bashtage/arch - Release 4.9.1

This is a bug fix release:

  • Fix an import bug that prevents conda packages from being built

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Published by bashtage almost 7 years ago

https://github.com/bashtage/arch - Release 4.9.0

This is a feature and bug release.

  • Removed support for Python 2.7.
  • Added auto_bandwidth to compute optimized bandwidth for a number of common kernel covariance estimators. This code was written by Michael Rabba.
  • Added a parameter rescale to arch_model that allows the estimator to rescale data if it may help parameter estimation. If rescale=True, then the data will be rescaled by a power of 10 (e.g., 10, 100, or 1000) to produce a series with a residual variance between 1 and 1000. The model is then estimated on the rescaled data. The scale is reported ARCHModelResult.scale. If rescale=None, a warning is produced if the data appear to be poorly scaled, but no change of scale is applied. If rescale=False, no scale change is applied and no warning is issued.
  • Fixed a bug when using the BCA bootstrap method where the leave-one-out jackknife used the wrong centering variable.
  • Added ARCHModelResult.optimization_result to simplify checking for convergence of the numerical optimizer.
  • Added random_state argument to HARX.forecast to allow a RandomState objects to be passed in when forecasting when method='bootstrap'. This allows the repeatable forecast to be produced.
  • Fixed a bug in VarianceRatio that used the wrong variance in nonrobust inference with overlapping samples.

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Published by bashtage almost 7 years ago

https://github.com/bashtage/arch - Release 4.8.1

This is a small release that fixes an issue identified after 4.8.0 was released where extension modules would not be correctly imported.

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Published by bashtage about 7 years ago

https://github.com/bashtage/arch - Release 4.8

This is a feature and bug release. Highlights include:

  • Added Zivot-Andrews unit root test.
  • Added data dependent lag length selection to the KPSS test.
  • Added IndependentSamplesBootstrap to bootstrap inference on statistics from independent samples that may have uneven length.
  • Added arch_lm_test to ARCH-LM tests on model residuals or standardized residuals.
  • Fixed a bug in ADF when applying to very short time series.
  • Added ability to set the random_state when initializing a bootstrap.

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Published by bashtage about 7 years ago

https://github.com/bashtage/arch - Release 4.7

This is a feature and bug release:

  • Added support for Fractionally Integrated GARCH (FIGARCH)
  • Enable user to specify a specific value of the backcast in place of the automatically generated value.
  • Fixed a big where parameter-less models where incorrectly reported as having constant variance

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Published by bashtage over 7 years ago

https://github.com/bashtage/arch - Release 4.6.0

This is a feature release with 1 new feature:

  • Add support for MIDAS volatility processes with Hyperbolic weighting

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Published by bashtage over 7 years ago

https://github.com/bashtage/arch - Release 4.5.0

This is a feature release with 1 new feature:

  • Added a parameter to forecast that allows a user-provided callable random generator to be used in place of the model random generator

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Published by bashtage over 7 years ago

https://github.com/bashtage/arch - Release 4.4.1

Packing only release to fix an issue on PyPi.

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Published by bashtage almost 8 years ago

https://github.com/bashtage/arch - Release 4.4

This is a minor release containing mostly bug fixes.

Changes include:

  • Added named parameters to Dickey-Fuller regressions.
  • Removed use of the module-level NumPy RandomState. All random number generators use separate RandomState instances.
  • Fixed a bug that prevented 1-step forecasts with exogenous regressors
  • Added the Generalized Error Distribution for univariate ARCH models
  • Fixed a bug in MCS when using the max method that prevented all included models from being listed

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Published by bashtage almost 8 years ago

https://github.com/bashtage/arch - Release 4.3.1

  • Fix GED in arch_model

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Published by bashtage over 8 years ago

https://github.com/bashtage/arch - Release 4.3

  • Fixed a bug that prevented 1-step forecasts with exogenous regressors
  • Added the Generalized Error Distribution for univariate ARCH models
  • Fixed a bug in MCS when using the max method that prevented all included models from being listed
  • Added FixedVariance volatility process which allows pre-specified variances to be used with a mean model. This has been added to allow so-called zig-zag estimation where a mean model is estimated with a fixed variance, and then a variance model is estimated on the residuals using a ZeroMean variance process.

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Published by bashtage over 8 years ago

https://github.com/bashtage/arch - Release 4.2

Release containing all changes since 4.1 including:

  • Fixed a bug that prevented fix from being used with a new model (:issue:156)
  • Added first_obs and last_obs parameters to fix to mimic fit
  • Added ability to jointly estimate smoothing parameter in EWMA variance when fitting the model

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Published by bashtage over 8 years ago

https://github.com/bashtage/arch - Release 4.1

Minor release with bug fixes and the FixedVariance process. Adds support for 3.6 in anaconda.org.

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Published by bashtage about 9 years ago

https://github.com/bashtage/arch - Release 4.0

Variance forecasting to ARCH models

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Published by bashtage over 9 years ago

https://github.com/bashtage/arch - Minor release

Primarily doc fixes and a few bugs squished. No major new features.

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Published by bashtage almost 10 years ago

https://github.com/bashtage/arch - Point release

Added a small number of features, primarily the fix method which allows models to be "fit" using user-specified parameters.

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Published by bashtage almost 11 years ago

https://github.com/bashtage/arch - Version 3.0

New release featuring many small fixes and three multiple comparison procedures: - Test of Superior Predictive Ability (Reality Check) - Model Confidence Set - Stepwise Multiple Comparison

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Published by bashtage over 11 years ago

https://github.com/bashtage/arch - Version 2.1

Included code to perform unit root tests.

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Published by bashtage over 11 years ago

https://github.com/bashtage/arch - Version 2.0

  • Reorganized the ARCH code to allow expansion
  • Added a comprehensive bootstrap framework for future application in multiple comparison tests

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Published by bashtage over 11 years ago

https://github.com/bashtage/arch - Version 1.0

Initial release of arch. Matches code available on pypi and binstar.

- Python
Published by bashtage over 11 years ago