ROADMAP: Future plans

[bashtage]

Some planned additions. No specific time for completion.

• [x] Patton-Politis-White Bandwidth Selection for Time-Series Bootstraps
• [x] Engle-Granger Cointegration Testing
• [x] Phillips-Ouliaris Cointegration Testing
• [x] Dynamic OLS Cointegration Vector Estimation
• [x] FM OLS Cointegration Vector Estimation
• [x] CCR Cointegration Vector Estimation
• [x] Reduced memory in simulation-forecasting
• [ ] GARCH-X and EGARCH-X
• [ ] VAR-HAC
• [ ] Pre-whitened Recolored Long-run covariance estimation
• [ ] Univariate MA Mean Model
• [ ] Generalized lag GARCH models (e.g., lag 2 but not 1)
• [ ] General support for variance targetted estimation
• [ ] Multivariate GARCH

[itsNH98]

Available to work on the Multivariate GARCH if it is still on the Roadmap

[elvinwangyh]

There is an implementation for DCC-GARCH in Python, perhaps you can join the effort https://github.com/Topaceminem/DCC-GARCH .