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Financial models (fynance.models)

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fynance.models.econometric_models.MA

Econometric models¶

Currently contians four econometric models: Moving Average (MA), Auto Regressive with Moving Average (ARMA), Generalized Auto Regressive with Conditional Heteroskedasticity (ARMA_GARCH and ARMAX_GARCH).

Time series models¶

 fynance.models.econometric_models.MA(y, …) Moving Average model of order q s.t: fynance.models.econometric_models.ARMA(y, …) AutoRegressive Moving Average model of order q and p s.t: fynance.models.econometric_models.ARMA_GARCH(y, …) AutoRegressive Moving Average model of order q and p, such that: fynance.models.econometric_models.ARMAX_GARCH(y, …) AutoRegressive Moving Average model of order q and p, such that:

Tools¶

 fynance.models.econometric_models.get_parameters(params) Get parameters for ARMA-GARCH models.