Releases: bashtage/arch
Releases · bashtage/arch
Release 4.8.1
This is a small release that fixes an issue identified after 4.8.0 was released where extension modules would not be correctly imported.
Release 4.8
This is a feature and bug release. Highlights include:
- Added Zivot-Andrews unit root test.
- Added data dependent lag length selection to the KPSS test.
- Added
IndependentSamplesBootstrap
to bootstrap inference on statistics from independent samples that may
have uneven length. - Added
arch_lm_test
to ARCH-LM tests on model residuals or standardized residuals. - Fixed a bug in
ADF
when applying to very short time series. - Added ability to set the
random_state
when initializing a bootstrap.
Release 4.7
This is a feature and bug release:
- Added support for Fractionally Integrated GARCH (FIGARCH)
- Enable user to specify a specific value of the
backcast
in place of the automatically generated value. - Fixed a big where parameter-less models where incorrectly reported as having constant variance
Release 4.6.0
This is a feature release with 1 new feature:
- Add support for MIDAS volatility processes with Hyperbolic weighting
Release 4.5.0
This is a feature release with 1 new feature:
- Added a parameter to forecast that allows a user-provided callable random
generator to be used in place of the model random generator
Release 4.4.1
Packing only release to fix an issue on PyPi.
Release 4.4
This is a minor release containing mostly bug fixes.
Changes include:
- Added named parameters to Dickey-Fuller regressions.
- Removed use of the module-level NumPy RandomState. All random number generators use separate RandomState instances.
- Fixed a bug that prevented 1-step forecasts with exogenous regressors
- Added the Generalized Error Distribution for univariate ARCH models
- Fixed a bug in MCS when using the max method that prevented all included models from being listed
Release 4.3.1
- Fix GED in
arch_model
Release 4.3
- Fixed a bug that prevented 1-step forecasts with exogenous regressors
- Added the Generalized Error Distribution for univariate ARCH models
- Fixed a bug in MCS when using the max method that prevented all included models from being
listed - Added
FixedVariance
volatility process which allows pre-specified variances to be used with
a mean model. This has been added to allow so-called zig-zag estimation where a mean model is
estimated with a fixed variance, and then a variance model is estimated on the residuals using
aZeroMean
variance process.
Release 4.2
Release containing all changes since 4.1 including:
- Fixed a bug that prevented
fix
from being used with a new model (:issue:156
) - Added
first_obs
andlast_obs
parameters tofix
to mimicfit
- Added ability to jointly estimate smoothing parameter in EWMA variance when fitting the model