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Implementing component GARCH process #188

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Implementing component GARCH process #188

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Commits on Jul 9, 2017

  1. print start

    @RichardMM
    RichardMM committed Jul 9, 2017
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  2. added recursion and cgarch process

    @RichardMM
    RichardMM committed Jul 9, 2017
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  3. included cgarch in init

    @RichardMM
    RichardMM committed Jul 9, 2017
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Commits on Jul 10, 2017

  1. Add .suo to gitignore

    @RichardMM
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Commits on Jul 13, 2017

  1. Created empty forecast methods

    @RichardMM
    RichardMM committed Jul 13, 2017
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Commits on Jul 22, 2017

  1. Add pyproj to gitignore

    @RichardMM
    RichardMM committed Jul 22, 2017
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  2. Merge remote-tracking branch 'refs/remotes/upstream/master'

    @RichardMM
    RichardMM committed Jul 22, 2017
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Commits on Jul 24, 2017

  1. Add CGARCH forecast

    @RichardMM
    RichardMM committed Jul 24, 2017
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  2. Add CGARCH docs

    @RichardMM
    RichardMM committed Jul 24, 2017
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  3. Add .sln to gitignore

    @RichardMM
    RichardMM committed Jul 24, 2017
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  4. Merge remote-tracking branch 'refs/remotes/upstream/master'

    @RichardMM
    RichardMM committed Jul 24, 2017
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Commits on Jul 25, 2017

  1. Correct import future statement

    @RichardMM
    RichardMM committed Jul 25, 2017
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  2. Ignore ipynb checkpoints

    @RichardMM
    RichardMM committed Jul 25, 2017
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Commits on Jul 28, 2017

  1. Correct recursion problem

    @RichardMM
    RichardMM committed Jul 28, 2017
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Commits on Jul 29, 2017

  1. Change cgarch constraints

    @RichardMM
    RichardMM committed Jul 29, 2017
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Commits on Jul 31, 2017

  1. Add local files to gitignore

    @RichardMM
    RichardMM committed Jul 31, 2017
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  2. Change starting values

    @RichardMM
    RichardMM committed Jul 31, 2017
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  3. Change parameter bounds

    @RichardMM
    RichardMM committed Jul 31, 2017
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  4. Correct recursion problem

    @RichardMM
    RichardMM committed Jul 31, 2017
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  5. Correct recursion

    @RichardMM
    RichardMM committed Jul 31, 2017
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Commits on Aug 1, 2017

  1. Add cgarch recursion test

    @RichardMM
    RichardMM committed Aug 1, 2017
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  2. Files change

    @RichardMM
    RichardMM committed Aug 1, 2017
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  3. Add pylint suggestions

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    RichardMM committed Aug 1, 2017
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  4. Add cgarch class tests to tests file 

    Also correct error in cgarch simulation and add str method in volatility file
    @RichardMM
    RichardMM committed Aug 1, 2017
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  5. Change recursion used

    @RichardMM
    RichardMM committed Aug 1, 2017
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Commits on Aug 2, 2017

  1. Remove test for cython cgarch recursion

    @RichardMM
    RichardMM committed Aug 2, 2017
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  2. Modify super to work in python 2

    @RichardMM
    RichardMM committed Aug 2, 2017
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  3. Correct failed tests

    @RichardMM
    RichardMM committed Aug 2, 2017
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  4. Change super to support python 2

    @RichardMM
    RichardMM committed Aug 2, 2017
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  5. correct undefined name

    @RichardMM
    RichardMM committed Aug 2, 2017
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  6. Corrrect bug in simulate method in cgarch

    @RichardMM
    RichardMM committed Aug 2, 2017
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  7. Add pylint suggestions

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    RichardMM committed Aug 2, 2017
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  8. Fix index error bug

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    RichardMM committed Aug 2, 2017
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  9. Fix simulation bug

    @RichardMM
    RichardMM committed Aug 2, 2017
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  10. Fix simulation bug

    @RichardMM
    RichardMM committed Aug 2, 2017
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  11. Fix simulation bug

    @RichardMM
    RichardMM committed Aug 2, 2017
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  12. Fix cgarch simulation bug

    @RichardMM
    RichardMM committed Aug 2, 2017
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  13. Fix simulation bug

    @RichardMM
    RichardMM committed Aug 2, 2017
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  14. Fix simulation bug

    @RichardMM
    RichardMM committed Aug 2, 2017
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  15. Add travis flake8 suggestions

    @RichardMM
    RichardMM committed Aug 2, 2017
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  16. Add pylint guidelines

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Commits on Aug 3, 2017

  1. Add pylint suggestions

    @RichardMM
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  2. Add pylint suggestions

    @RichardMM
    RichardMM committed Aug 3, 2017
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  3. Add pylint suggestions

    @RichardMM
    RichardMM committed Aug 3, 2017
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  4. Add cython cgarch recursion

    @RichardMM
    RichardMM committed Aug 3, 2017
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  5. Add test for cython cgarch recursion

    @RichardMM
    RichardMM committed Aug 3, 2017
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  6. Add cython recursion test for cgarch

    @RichardMM
    RichardMM committed Aug 3, 2017
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  7. Add pylint suggestions

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  8. Add CGARCH to archmodel function

    @RichardMM
    RichardMM committed Aug 3, 2017
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  9. correct forecast method

    @RichardMM
    RichardMM committed Aug 3, 2017
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  10. Remove pyproj file

    @RichardMM
    RichardMM committed Aug 3, 2017
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  11. Add analytic forcast for CGARCH

    @RichardMM
    RichardMM committed Aug 3, 2017
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  12. Add pylint suggestions

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    RichardMM committed Aug 3, 2017
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  13. Fix forecast bug

    @RichardMM
    RichardMM committed Aug 3, 2017
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  14. Merge branch 'master' of https://github.com/bashtage/arch

    @RichardMM
    RichardMM committed Aug 3, 2017
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  15. Add pylint suggestions

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  16. Add pylint suggestions

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  17. Add pylint suggestion

    @RichardMM
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  18. Modify compute variance to return 2 arrays

    @RichardMM
    RichardMM committed Aug 3, 2017
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  19. Remove unused method

    @RichardMM
    RichardMM committed Aug 3, 2017
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  20. Add longterm var attribute

    @RichardMM
    RichardMM committed Aug 3, 2017
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  21. Fix missing argument bug

    @RichardMM
    RichardMM committed Aug 3, 2017
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  22. Fix optimization bug

    @RichardMM
    RichardMM committed Aug 3, 2017
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  23. Fix assignment error

    @RichardMM
    RichardMM committed Aug 3, 2017
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  24. Fix assignment bug

    @RichardMM
    RichardMM committed Aug 3, 2017
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Commits on Aug 4, 2017

  1. Modify doc for longterm_variance 

    The method doc was referring to conditional volatility
    @RichardMM
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  2. Add longterm forecast property to VarianceForecast class 

    This will be helpful when the volatility Process outputs a long erm component in addition to the conditional volatility.
    @RichardMM
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  3. Modify _one_step_forecast to cater for cgarch 

    The method is moified for the base Volatility process to allow for a volatility process with a component to have its longterm forecasts returned
    @RichardMM
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  4. Modify CGARCH forecast methods 

    CGARCH process can now also produce forecasts for its long term component. This builds on functionality added to _one_step_forecast and VarianceForecast.
    @RichardMM
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  5. Fix assignment bug in VarianceForecast 

    The longterm forecasts attribute was returning None due to erroneous assignment
    @RichardMM
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  6. Modify ARCHModelForecast to handle component forecasts 

    The class now has a default property for longterm component forecasts
    @RichardMM
    RichardMM committed Aug 4, 2017
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  7. Modify HARX model to cater for component volatility processes 

    Now forecasts will include the component part
    @RichardMM
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  8. Fix bug in HARX model forecast return 

    ARCHModelForecast args were not input correctly
    @RichardMM
    RichardMM committed Aug 4, 2017
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  9. Fix bug in cgarch forecasts

    @RichardMM
    RichardMM committed Aug 4, 2017
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  10. Fix bug in handling tuple return 

    Previously tuple return from compute_variance was unpacked poorly leading to the last item being overwritten by the first
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  11. Fix bug in cgarch forecasts 

    The Variance forecast method did not have the longterm component argument.
    @RichardMM
    RichardMM committed Aug 4, 2017
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  12. Format to conform to pylint

    @RichardMM
    RichardMM committed Aug 4, 2017
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  13. Improve docs

    @RichardMM
    RichardMM committed Aug 4, 2017
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  14. Merge from master

    @RichardMM
    RichardMM committed Aug 4, 2017
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  15. Add some unneeded files

    @RichardMM
    RichardMM committed Aug 4, 2017
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  16. Merge pull request #2 from RichardMM/cgarch 

    Cgarch Implementation
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  17. Modify docs 

    The docs now show presence of cgarch process and longterm variance attribute
    @RichardMM
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  18. Tweak starting values 

    CGARCH starting values search space was too small.rho now includes 0.65
    @RichardMM
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Commits on Aug 5, 2017

  1. Modify starting values

    @RichardMM
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  2. Modify starting values for cgarch

    @RichardMM
    RichardMM committed Aug 5, 2017
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  3. Modify starting values

    @RichardMM
    RichardMM committed Aug 5, 2017
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  4. Modify cgarch starting values and bounds

    @RichardMM
    RichardMM committed Aug 5, 2017
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  5. Correct typo in docs

    @RichardMM
    RichardMM committed Aug 5, 2017
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  6. Increase iterations for fit 

    Convergence is difficult for garch models because of the samll values
    @RichardMM
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  7. Modify starting values for cgarch

    @RichardMM
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Commits on Aug 6, 2017

  1. Add CGarch example notebook

    @RichardMM
    RichardMM committed Aug 6, 2017
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  2. Modifycgarchbounds 

    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.
    @RichardMM
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  3. Change back iter parameter to 100

    @RichardMM
    RichardMM committed Aug 6, 2017
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  4. Modify docs for cgarch

    @RichardMM
    RichardMM committed Aug 6, 2017
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  5. Include cgarch in list of volatility models

    @RichardMM
    RichardMM committed Aug 6, 2017
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  6. Remove whitespace in blankline

    @RichardMM
    RichardMM committed Aug 6, 2017
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  7. Merge pull request #3 from RichardMM/cgarch 

    Cgarch
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Commits on Sep 21, 2017

  1. Merge branch 'master' into master

    @RichardMM
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Commits on Sep 24, 2017

  1. Correct error in cgarch simulation

    @RichardMM
    RichardMM committed Sep 24, 2017
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Commits on Nov 19, 2017

  1. Add new commits from bashtage and clear conflicts

    Macharia committed Nov 19, 2017
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  2. Merge branch 'master' of https://github.com/RichardMM/arch into cgarch

    Macharia committed Nov 19, 2017
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  3. Merge branch 'master' of https://github.com/RichardMM/arch into cgarch

    Macharia committed Nov 19, 2017
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