mgarch

mgarch is a python package for predicting volatility of daily returns in financial markets.

DCC-GARCH(1,1) for multivariate normal and student t distribution.

Use case:

For Multivariate Normal Distribution

# shape(rt) = (t, n) numpy matrix with t days of observation and n number of assets
import mgarch
vol = mgarch.mgarch()
vol.fit(rt)
ndays = 10 # volatility of nth day
cov_nextday = vol.predict(ndays)

For Multivariate Student-t Distribution

# shape(rt) = (t, n) numpy matrix with t days of observation and n number of assets
import mgarch
dist = 't'
vol = mgarch.mgarch(dist)
vol.fit(rt)
ndays = 10 # volatility of nth day
cov_nextday = vol.predict(ndays)

Contributing

Pull requests are welcome. For major changes, please open an issue first to discuss what you would like to change.

Please make sure to update tests as appropriate.

License

Academic Free License v3.0