Kevin Sheppard
Kevin Sheppard
The design of arch makes this a bit trickier than ideal since a VolatiltiyProcess usually takes inputs from the Mean model. I think I know how to solve it in...
The issue with the exog shape has been fixed in master. Master and the next release will accept 1d exog as long as it has the right number of observations.
There is no support for multistep forecasts with exogenous regressors, so you will need to roll your own.
I still think exog variables haven't been implemented yet.
This can't work since exogenous variables are already 2d since AR-X can have multiple X, and so you have to be able to pass 2-d for specify the values of...
I'm open to a PR but am unlikely to implement this myself.
Thanks for making these changes. I'm not sure this is the simplest method to implement Component GARCH since the standard Component GARCH is just a restricted GARCH(2,2). This said, I...
I think it should be possible to subclass `GARCH` setting p=q=2, and then overwriding some of the methods to specialize for the different parameter interpretations (e.g. that starting values, likelihood,...
I haven't forgotten about this -- just been quite busy.
This would be helpful to me as well. Perhaps `--amend`?