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ENH: Add variance targetting GARCH model
Add a VT GARCH model Note that inference isn't correct
Codecov Report
Merging #250 into master will decrease coverage by
0.67%. The diff coverage is15%.
@@ Coverage Diff @@
## master #250 +/- ##
==========================================
- Coverage 99.4% 98.72% -0.68%
==========================================
Files 31 31
Lines 9910 9989 +79
Branches 864 871 +7
==========================================
+ Hits 9851 9862 +11
- Misses 16 84 +68
Partials 43 43
| Impacted Files | Coverage Δ | |
|---|---|---|
| arch/univariate/recursions.pyx | 98.48% <ø> (ø) |
:arrow_up: |
| arch/bootstrap/_samplers.pyx | 100% <ø> (ø) |
:arrow_up: |
| arch/univariate/volatility.py | 94.6% <15%> (-4.55%) |
:arrow_down: |
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