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Cgarch #3

Merged
merged 15 commits into from
Aug 6, 2017
Merged

Cgarch #3

merged 15 commits into from
Aug 6, 2017

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RichardMM
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This improves the starting values for cgarch and adds the example notebook

The docs now show presence of cgarch process and longterm variance attribute
CGARCH starting values search space was too small.rho now includes 0.65
Convergence is difficult for garch models because of the samll values
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codecov-io commented Aug 6, 2017

Codecov Report

Merging #3 into master will increase coverage by <.01%.
The diff coverage is 100%.

Impacted file tree graph

@@            Coverage Diff             @@
##           master       #3      +/-   ##
==========================================
+ Coverage   97.17%   97.18%   +<.01%     
==========================================
  Files          33       33              
  Lines        8503     8512       +9     
  Branches      771      772       +1     
==========================================
+ Hits         8263     8272       +9     
  Misses        150      150              
  Partials       90       90
Impacted Files Coverage Δ
arch/univariate/base.py 93.11% <ø> (ø) ⬆️
arch/univariate/mean.py 92.96% <ø> (ø) ⬆️
arch/univariate/volatility.py 96.07% <100%> (+0.03%) ⬆️
arch/tests/univariate/test_volatility.py 99.75% <100%> (ø) ⬆️

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@coveralls
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Coverage Status

Coverage increased (+0.01%) to 98.25% when pulling 7f2c208 on cgarch into 8d00212 on master.

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@coveralls
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Coverage Status

Coverage increased (+0.01%) to 98.25% when pulling 7f2c208 on cgarch into 8d00212 on master.

@coveralls
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Coverage Status

Coverage increased (+0.01%) to 98.25% when pulling 7f2c208 on cgarch into 8d00212 on master.

It turns out that not scaling my data was the reason the solver could not find a direction to descend to.This could not be fixed by tweaking starting values or bounds. Now bunds have been returned to their text book versions.
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coveralls commented Aug 6, 2017

Coverage Status

Coverage increased (+0.002%) to 98.238% when pulling feef7e1 on cgarch into 8d00212 on master.

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coveralls commented Aug 6, 2017

Coverage Status

Coverage increased (+0.002%) to 98.238% when pulling 0df4501 on cgarch into 8d00212 on master.

@RichardMM RichardMM merged commit 580ae56 into master Aug 6, 2017
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