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ENH: Add variance targetting GARCH model

Open bashtage opened this issue 7 years ago • 2 comments

Add a VT GARCH model Note that inference isn't correct

bashtage avatar Oct 15 '18 21:10 bashtage

Codecov Report

Merging #250 into master will decrease coverage by 0.67%. The diff coverage is 15%.

Impacted file tree graph

@@            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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Legend - Click here to learn more Δ = absolute <relative> (impact), ø = not affected, ? = missing data Powered by Codecov. Last update a1a73a6...1de062e. Read the comment docs.

codecov[bot] avatar Oct 15 '18 21:10 codecov[bot]

Coverage Status

Coverage decreased (-0.7%) to 99.141% when pulling 1de062e7c14a8493ffd1227c6fd5008018ed8b7b on variance-targetting into a1a73a6e1d6114518d1ea72a7164d7fa1af7801b on master.

coveralls avatar Jan 04 '19 14:01 coveralls