50币求ARCH,GARCH的python学习资料

如题，求ARCH,GARCH的学习资料和代码，代码必须是python的，中文的最好，英文的也可以~~~
第一次发帖，不知道能不能追加币，可以的话如果资料详尽，可以再加50币~~~

http://quant.stackexchange.com/questions/16730/correctly-applying-garch-in-python
同学你可以去这个网站上面看一下

You can read the theory here: https://bbs.pinggu.org/thread-3129531-1-1.html (Chapter 9)
For Python code see this book: https://bbs.pinggu.org/thread-3593630-1-1.html (Chapter 12)
Also the arch library is good in practice: https://arch.readthedocs.io/en/latest/univariate/univariate.html

Try this one
https://www.quantopian.com/lectures
非常好网站, 非常详细信息ARCH and GARCH in Python

https://www.zhihu.com/question/30719154/answer/121085441
中国网站

我做ARCH，GARCH模型都是用Eviews软件或者SAS软件，需要可以问我。

yzharold 发表于 2016-9-14 21:44
Try this one
https://www.quantopian.com/lectures
非常好网站, 非常详细信息ARCH and GARCH in Python
...

这种量化的，只有结果，没有对于模型的假设性检验，不过还是谢谢了

4564684 发表于 2016-9-19 16:54
我做ARCH，GARCH模型都是用Eviews软件或者SAS软件，需要可以问我。

你好，请问你有python的么？谢谢啦

hnjyzdc 发表于 2016-9-21 12:16
这种量化的，只有结果，没有对于模型的假设性检验，不过还是谢谢了

假设性检验具体指什么？能不能把你的需求讲的再清楚一点~~

The link websites only offer you the software/algorithm/usage of the code, not the statistical theory about the hypothese testing, you might find the estimating and testing in the pdf as the following link.

https://www.iei.liu.se/nek/ekonometrisk-teori-7-5-hp-730a07/labbar/1.242814/Archlab3.pdf

The required parameters from the formula in the pdf would be provided by standard package from different software, such as R, python, Eview etc. Hopefully, it will help you to get start.

I think it is also important to answer "假设性检验具体指什么" before you build/test your model.

Good luck!

DoAlchemy 发表于 2016-9-21 16:04
假设性检验具体指什么？能不能把你的需求讲的再清楚一点~~

方差齐性，正态性，相关性~