I am studying a textbook of statistics / econometrics, using Python for my computational needs. I have encountered GARCH models and my understanding is that this is a commonly used model. In an exercise, I need to fit a time series to some exogenous variables, and allow for GARCH effects. I looked but found no package in Python to do it. I found this but I think it only supports 1 exogenous variable - I have a bunch of them. This surprises me because I thought this would be something that some quants do every other day... Have I been looking in the wrong places?

Thank you very much

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    $\begingroup$ You're right: Python doesn't have a lat of packages for Time Series Analysis. There's arch and statsmodels, and that's about it. You might want to look at R, which has better support for time series. $\endgroup$ – Olaf Jan 11 '16 at 17:51

It is an old thread. Just pointing out that capability is available in ARCH package now for the benefit of future readers. https://pypi.org/project/arch/

Volatility models ARCH GARCH TARCH EGARCH EWMA/RiskMetrics


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