All pull requests

Pull requests

• BUG: Use the expected variance path in RiskMetrics2006 forecasts

  #885·raashish1601 opened Oct 8, 2026Contributor·

  ·
  5

• ENH: Studentize each bootstrap resample in SPA and StepM (bootstrap-t)

  #881·arhancanli opened Oct 7, 2026·

  ·
  1

  4

• Add CensoredGARCH: latent-variance correction for censored return series

  #875·uzair1509 opened Sep 28, 2026·

  ·
  2

• Use the skew partial moment in analytic GJR forecasts

  #870·shaneraphel opened Sep 27, 2026·

  ·
  1

• BUG: Implement forecasting for ARCH-in-mean models

  #859·binggao1230 opened Jul 31, 2026·

  ·
  1

• Add Li-Mak (1994) portmanteau test for ARCH effects in standardized residuals

  #856·hass-nation opened Jun 29, 2026·

  ·
  1

  1

• feat(multivariate): add CCC-GARCH and DCC-GARCH -- closes #242

  #854·hass-nation opened Jun 27, 2026·

  ·
  1

  1

• Add Markov Switching GARCH volatility model

  #791·wday0507 opened Aug 29, 2025·

  ·
  21

• Experimental Feature - Accelerated NumPy

  #672·gavincyi opened Jul 5, 2023·

  ·
  1

• Rolling window forecast with rolling demean #633

  #634·gavincyi opened Mar 15, 2023·

  ·

• ENH: Allow in- and out-of-sample parameters to be set

  #388·bashtage opened Apr 27, 2020Owner·

  ·
  1

• ENH: Add variance targetting GARCH model

  #250·bashtage opened Oct 15, 2018Owner·

  ·
  2

• Implementing component GARCH process

  #188·RichardMM opened Aug 6, 2017·

  ·
  14