1
$\begingroup$

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

$\endgroup$
  • 1
    $\begingroup$ 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

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.