https://github.com/bashtage/arch
Tip revision: 965d9660708acf1fbfa96e0b97780789a85c910e authored by Kevin Sheppard on 05 January 2024, 16:10:52 UTC
Github Actions doc build after commit 256887c5
Github Actions doc build after commit 256887c5
Tip revision: 965d966
api.html
<!doctype html>
<html lang="en" class="no-js">
<head>
<meta charset="utf-8">
<meta name="viewport" content="width=device-width,initial-scale=1">
<link rel="icon" href="_static/favicon.ico">
<title>API Reference - arch 6.3.0</title>
<link rel="apple-touch-icon" sizes="180x180" href="_static/images/apple-touch-icon.png">
<link rel="icon" type="image/png" sizes="32x32" href="_static/images/favicon-32x32.png">
<link rel="icon" type="image/png" sizes="16x16" href="_static/images/favicon-16x16.png">
<link rel="manifest" href="_static/images/site.webmanifest">
<link rel="mask-icon" href="_static/images/safari-pinned-tab.svg" color="#2196f3">
<meta name="msapplication-TileColor" content="#2b5797">
<meta name="msapplication-config" content="_static/images/browserconfig.xml">
<meta name="theme-color" content="#2094f3">
<style>:root{--md-text-font:"Roboto";--md-code-font:"Roboto Mono"}</style>
<link rel="stylesheet" type="text/css" href="_static/sphinx_immaterial_theme.af531f03affe68837.min.css?v=2410bb73" />
<link rel="stylesheet" type="text/css" href="_static/css/small_fixes.css?v=64f7a1ef" />
<script>__md_scope=new URL(".",location),__md_hash=e=>[...e].reduce((e,_)=>(e<<5)-e+_.charCodeAt(0),0),__md_get=(e,_=localStorage,t=__md_scope)=>JSON.parse(_.getItem(t.pathname+"."+e)),__md_set=(e,_,t=localStorage,a=__md_scope)=>{try{t.setItem(a.pathname+"."+e,JSON.stringify(_))}catch(e){}}</script>
</head>
<body dir="ltr" data-md-color-scheme="" data-md-color-primary="blue" data-md-color-accent="indigo">
<input class="md-toggle" data-md-toggle="drawer" type="checkbox" id="__drawer" autocomplete="off">
<input class="md-toggle" data-md-toggle="search" type="checkbox" id="__search" autocomplete="off">
<label class="md-overlay" for="__drawer"></label>
<div data-md-component="skip">
<a href="#volatility-modeling" class="md-skip">
Skip to content
</a>
</div>
<div data-md-component="announce">
</div>
<div data-md-component="outdated" hidden>
</div>
<header class="md-header" data-md-component="header">
<nav class="md-header__inner md-grid" aria-label="Header">
<a href="index.html" title="arch 6.3.0" class="md-header__button md-logo" aria-label="arch 6.3.0" data-md-component="logo">
<img src="_static/bw-logo.svg" alt="logo">
</a>
<label class="md-header__button md-icon" for="__drawer">
<svg xmlns="http://www.w3.org/2000/svg" viewBox="0 0 24 24"><path d="M3 6h18v2H3V6m0 5h18v2H3v-2m0 5h18v2H3v-2Z"/></svg>
</label>
<div class="md-header__title" data-md-component="header-title">
<div class="md-header__ellipsis">
<div class="md-header__topic">
<span class="md-ellipsis">
arch 6.3.0
</span>
</div>
<div class="md-header__topic" data-md-component="header-topic">
<span class="md-ellipsis">
API Reference
</span>
</div>
</div>
</div>
<label class="md-header__button md-icon" for="__search">
<svg xmlns="http://www.w3.org/2000/svg" viewBox="0 0 24 24"><path d="M9.5 3A6.5 6.5 0 0 1 16 9.5c0 1.61-.59 3.09-1.56 4.23l.27.27h.79l5 5-1.5 1.5-5-5v-.79l-.27-.27A6.516 6.516 0 0 1 9.5 16 6.5 6.5 0 0 1 3 9.5 6.5 6.5 0 0 1 9.5 3m0 2C7 5 5 7 5 9.5S7 14 9.5 14 14 12 14 9.5 12 5 9.5 5Z"/></svg>
</label>
<div class="md-search" data-md-component="search" role="dialog">
<label class="md-search__overlay" for="__search"></label>
<div class="md-search__inner" role="search">
<form class="md-search__form" name="search">
<input type="text" class="md-search__input" name="query" aria-label="Search" placeholder="Search" autocapitalize="off" autocorrect="off" autocomplete="off" spellcheck="false" data-md-component="search-query" required>
<label class="md-search__icon md-icon" for="__search">
<svg xmlns="http://www.w3.org/2000/svg" viewBox="0 0 24 24"><path d="M9.5 3A6.5 6.5 0 0 1 16 9.5c0 1.61-.59 3.09-1.56 4.23l.27.27h.79l5 5-1.5 1.5-5-5v-.79l-.27-.27A6.516 6.516 0 0 1 9.5 16 6.5 6.5 0 0 1 3 9.5 6.5 6.5 0 0 1 9.5 3m0 2C7 5 5 7 5 9.5S7 14 9.5 14 14 12 14 9.5 12 5 9.5 5Z"/></svg>
<svg xmlns="http://www.w3.org/2000/svg" viewBox="0 0 24 24"><path d="M20 11v2H8l5.5 5.5-1.42 1.42L4.16 12l7.92-7.92L13.5 5.5 8 11h12Z"/></svg>
</label>
<nav class="md-search__options" aria-label="Search">
<button type="reset" class="md-search__icon md-icon" title="Clear" aria-label="Clear" tabindex="-1">
<svg xmlns="http://www.w3.org/2000/svg" viewBox="0 0 24 24"><path d="M19 6.41 17.59 5 12 10.59 6.41 5 5 6.41 10.59 12 5 17.59 6.41 19 12 13.41 17.59 19 19 17.59 13.41 12 19 6.41Z"/></svg>
</button>
</nav>
</form>
<div class="md-search__output">
<div class="md-search__scrollwrap" data-md-scrollfix>
<div class="md-search-result" data-md-component="search-result">
<div class="md-search-result__meta">
Initializing search
</div>
<ol class="md-search-result__list"></ol>
</div>
</div>
</div>
</div>
</div>
<div class="md-header__source">
<a href="https://github.com/bashtage/arch/" title="Go to repository" class="md-source" data-md-component="source">
<div class="md-source__icon md-icon">
<svg xmlns="http://www.w3.org/2000/svg" viewBox="0 0 496 512"><!--! Font Awesome Free 6.2.0 by @fontawesome - https://fontawesome.com License - https://fontawesome.com/license/free (Icons: CC BY 4.0, Fonts: SIL OFL 1.1, Code: MIT License) Copyright 2022 Fonticons, Inc.--><path d="M165.9 397.4c0 2-2.3 3.6-5.2 3.6-3.3.3-5.6-1.3-5.6-3.6 0-2 2.3-3.6 5.2-3.6 3-.3 5.6 1.3 5.6 3.6zm-31.1-4.5c-.7 2 1.3 4.3 4.3 4.9 2.6 1 5.6 0 6.2-2s-1.3-4.3-4.3-5.2c-2.6-.7-5.5.3-6.2 2.3zm44.2-1.7c-2.9.7-4.9 2.6-4.6 4.9.3 2 2.9 3.3 5.9 2.6 2.9-.7 4.9-2.6 4.6-4.6-.3-1.9-3-3.2-5.9-2.9zM244.8 8C106.1 8 0 113.3 0 252c0 110.9 69.8 205.8 169.5 239.2 12.8 2.3 17.3-5.6 17.3-12.1 0-6.2-.3-40.4-.3-61.4 0 0-70 15-84.7-29.8 0 0-11.4-29.1-27.8-36.6 0 0-22.9-15.7 1.6-15.4 0 0 24.9 2 38.6 25.8 21.9 38.6 58.6 27.5 72.9 20.9 2.3-16 8.8-27.1 16-33.7-55.9-6.2-112.3-14.3-112.3-110.5 0-27.5 7.6-41.3 23.6-58.9-2.6-6.5-11.1-33.3 2.6-67.9 20.9-6.5 69 27 69 27 20-5.6 41.5-8.5 62.8-8.5s42.8 2.9 62.8 8.5c0 0 48.1-33.6 69-27 13.7 34.7 5.2 61.4 2.6 67.9 16 17.7 25.8 31.5 25.8 58.9 0 96.5-58.9 104.2-114.8 110.5 9.2 7.9 17 22.9 17 46.4 0 33.7-.3 75.4-.3 83.6 0 6.5 4.6 14.4 17.3 12.1C428.2 457.8 496 362.9 496 252 496 113.3 383.5 8 244.8 8zM97.2 352.9c-1.3 1-1 3.3.7 5.2 1.6 1.6 3.9 2.3 5.2 1 1.3-1 1-3.3-.7-5.2-1.6-1.6-3.9-2.3-5.2-1zm-10.8-8.1c-.7 1.3.3 2.9 2.3 3.9 1.6 1 3.6.7 4.3-.7.7-1.3-.3-2.9-2.3-3.9-2-.6-3.6-.3-4.3.7zm32.4 35.6c-1.6 1.3-1 4.3 1.3 6.2 2.3 2.3 5.2 2.6 6.5 1 1.3-1.3.7-4.3-1.3-6.2-2.2-2.3-5.2-2.6-6.5-1zm-11.4-14.7c-1.6 1-1.6 3.6 0 5.9 1.6 2.3 4.3 3.3 5.6 2.3 1.6-1.3 1.6-3.9 0-6.2-1.4-2.3-4-3.3-5.6-2z"/></svg>
</div>
<div class="md-source__repository">
arch
</div>
</a>
</div>
</nav>
</header>
<div class="md-container" data-md-component="container">
<main class="md-main" data-md-component="main">
<div class="md-main__inner md-grid">
<div class="md-sidebar md-sidebar--primary" data-md-component="sidebar" data-md-type="navigation" >
<div class="md-sidebar__scrollwrap">
<div class="md-sidebar__inner">
<nav class="md-nav md-nav--primary" aria-label="Navigation" data-md-level="0">
<label class="md-nav__title" for="__drawer">
<a href="index.html" title="arch 6.3.0" class="md-nav__button md-logo" aria-label="arch 6.3.0" data-md-component="logo">
<img src="_static/bw-logo.svg" alt="logo">
</a>
arch 6.3.0
</label>
<div class="md-nav__source">
<a href="https://github.com/bashtage/arch/" title="Go to repository" class="md-source" data-md-component="source">
<div class="md-source__icon md-icon">
<svg xmlns="http://www.w3.org/2000/svg" viewBox="0 0 496 512"><!--! Font Awesome Free 6.2.0 by @fontawesome - https://fontawesome.com License - https://fontawesome.com/license/free (Icons: CC BY 4.0, Fonts: SIL OFL 1.1, Code: MIT License) Copyright 2022 Fonticons, Inc.--><path d="M165.9 397.4c0 2-2.3 3.6-5.2 3.6-3.3.3-5.6-1.3-5.6-3.6 0-2 2.3-3.6 5.2-3.6 3-.3 5.6 1.3 5.6 3.6zm-31.1-4.5c-.7 2 1.3 4.3 4.3 4.9 2.6 1 5.6 0 6.2-2s-1.3-4.3-4.3-5.2c-2.6-.7-5.5.3-6.2 2.3zm44.2-1.7c-2.9.7-4.9 2.6-4.6 4.9.3 2 2.9 3.3 5.9 2.6 2.9-.7 4.9-2.6 4.6-4.6-.3-1.9-3-3.2-5.9-2.9zM244.8 8C106.1 8 0 113.3 0 252c0 110.9 69.8 205.8 169.5 239.2 12.8 2.3 17.3-5.6 17.3-12.1 0-6.2-.3-40.4-.3-61.4 0 0-70 15-84.7-29.8 0 0-11.4-29.1-27.8-36.6 0 0-22.9-15.7 1.6-15.4 0 0 24.9 2 38.6 25.8 21.9 38.6 58.6 27.5 72.9 20.9 2.3-16 8.8-27.1 16-33.7-55.9-6.2-112.3-14.3-112.3-110.5 0-27.5 7.6-41.3 23.6-58.9-2.6-6.5-11.1-33.3 2.6-67.9 20.9-6.5 69 27 69 27 20-5.6 41.5-8.5 62.8-8.5s42.8 2.9 62.8 8.5c0 0 48.1-33.6 69-27 13.7 34.7 5.2 61.4 2.6 67.9 16 17.7 25.8 31.5 25.8 58.9 0 96.5-58.9 104.2-114.8 110.5 9.2 7.9 17 22.9 17 46.4 0 33.7-.3 75.4-.3 83.6 0 6.5 4.6 14.4 17.3 12.1C428.2 457.8 496 362.9 496 252 496 113.3 383.5 8 244.8 8zM97.2 352.9c-1.3 1-1 3.3.7 5.2 1.6 1.6 3.9 2.3 5.2 1 1.3-1 1-3.3-.7-5.2-1.6-1.6-3.9-2.3-5.2-1zm-10.8-8.1c-.7 1.3.3 2.9 2.3 3.9 1.6 1 3.6.7 4.3-.7.7-1.3-.3-2.9-2.3-3.9-2-.6-3.6-.3-4.3.7zm32.4 35.6c-1.6 1.3-1 4.3 1.3 6.2 2.3 2.3 5.2 2.6 6.5 1 1.3-1.3.7-4.3-1.3-6.2-2.2-2.3-5.2-2.6-6.5-1zm-11.4-14.7c-1.6 1-1.6 3.6 0 5.9 1.6 2.3 4.3 3.3 5.6 2.3 1.6-1.3 1.6-3.9 0-6.2-1.4-2.3-4-3.3-5.6-2z"/></svg>
</div>
<div class="md-source__repository">
arch
</div>
</a>
</div>
<ul class="md-nav__list" data-md-scrollfix>
<li class="md-nav__item">
<a href="univariate/univariate.html" class="md-nav__link">
<span title="/univariate/univariate.rst (reference label)" class="md-ellipsis">Univariate Volatility Models</span>
</a>
</li>
<li class="md-nav__item">
<a href="bootstrap/bootstrap.html" class="md-nav__link">
<span title="/bootstrap/bootstrap.rst (reference label)" class="md-ellipsis">Bootstrapping</span>
</a>
</li>
<li class="md-nav__item">
<a href="multiple-comparison/multiple-comparisons.html" class="md-nav__link">
<span title="/multiple-comparison/multiple-comparisons.rst (reference label)" class="md-ellipsis">Multiple Comparison Problems</span>
</a>
</li>
<li class="md-nav__item">
<a href="unitroot/unitroot.html" class="md-nav__link">
<span title="/unitroot/unitroot.rst (reference label)" class="md-ellipsis">Unit Root Testing</span>
</a>
</li>
<li class="md-nav__item">
<a href="unitroot/unitroot.html#cointegration-analysis" class="md-nav__link">
<span title="/unitroot/unitroot.rst#cointegration-analysis (reference label)" class="md-ellipsis">Cointegration Analysis</span>
</a>
</li>
<li class="md-nav__item">
<a href="covariance/covariance.html" class="md-nav__link">
<span title="/covariance/covariance.rst (reference label)" class="md-ellipsis">Long-<wbr>run Covariance Estimation</span>
</a>
</li>
<li class="md-nav__item md-nav__item--active">
<input class="md-nav__toggle md-toggle" data-md-toggle="toc" type="checkbox" id="__toc">
<label class="md-nav__link md-nav__link--active" for="__toc">
<span title="/api.rst (reference label)" class="md-ellipsis">API Reference</span>
<span class="md-nav__icon md-icon"></span>
</label>
<a href="#" class="md-nav__link md-nav__link--active">
<span title="/api.rst (reference label)" class="md-ellipsis">API Reference</span>
</a>
<nav class="md-nav md-nav--secondary">
<label class="md-nav__title" for="__toc">
<span class="md-nav__icon md-icon"></span>
Contents
</label>
<ul class="md-nav__list" data-md-component="toc" data-md-scrollfix>
<li class="md-nav__item">
<a href="#volatility-modeling" class="md-nav__link">
<span title="/api.rst#volatility-modeling (reference label)" class="md-ellipsis">Volatility Modeling</span>
</a>
<nav class="md-nav" aria-label="Volatility Modeling">
<ul class="md-nav__list">
<li class="md-nav__item">
<a href="#high-level" class="md-nav__link">
<span title="/api.rst#high-level (reference label)" class="md-ellipsis">High-<wbr>level</span>
</a>
</li>
<li class="md-nav__item">
<a href="#mean-specification" class="md-nav__link">
<span title="/api.rst#mean-specification (reference label)" class="md-ellipsis">Mean Specification</span>
</a>
</li>
<li class="md-nav__item">
<a href="#volatility-process-specification" class="md-nav__link">
<span title="/api.rst#volatility-process-specification (reference label)" class="md-ellipsis">Volatility Process Specification</span>
</a>
</li>
<li class="md-nav__item">
<a href="#shock-distributions" class="md-nav__link">
<span title="/api.rst#shock-distributions (reference label)" class="md-ellipsis">Shock Distributions</span>
</a>
</li>
</ul>
</nav>
</li>
<li class="md-nav__item">
<a href="#unit-root-testing" class="md-nav__link">
<span title="/api.rst#unit-root-testing (reference label)" class="md-ellipsis">Unit Root Testing</span>
</a>
</li>
<li class="md-nav__item">
<a href="#cointegration-testing" class="md-nav__link">
<span title="/api.rst#cointegration-testing (reference label)" class="md-ellipsis">Cointegration Testing</span>
</a>
</li>
<li class="md-nav__item">
<a href="#cointegrating-relationship-estimation" class="md-nav__link">
<span title="/api.rst#cointegrating-relationship-estimation (reference label)" class="md-ellipsis">Cointegrating Relationship Estimation</span>
</a>
</li>
<li class="md-nav__item">
<a href="#bootstraps" class="md-nav__link">
<span title="/api.rst#bootstraps (reference label)" class="md-ellipsis">Bootstraps</span>
</a>
<nav class="md-nav" aria-label="Bootstraps">
<ul class="md-nav__list">
<li class="md-nav__item">
<a href="#block-length-selection" class="md-nav__link">
<span title="/api.rst#block-length-selection (reference label)" class="md-ellipsis">Block-<wbr>length Selection</span>
</a>
</li>
</ul>
</nav>
</li>
<li class="md-nav__item">
<a href="#testing-with-multiple-comparison" class="md-nav__link">
<span title="/api.rst#testing-with-multiple-comparison (reference label)" class="md-ellipsis">Testing with Multiple-<wbr>Comparison</span>
</a>
</li>
<li class="md-nav__item">
<a href="#long-run-covariance-hac-estimation" class="md-nav__link">
<span title="/api.rst#long-run-covariance-hac-estimation (reference label)" class="md-ellipsis">Long-<wbr>run Covariance <wbr>(HAC) Estimation</span>
</a>
</li>
</ul>
</nav>
</li>
<li class="md-nav__item">
<a href="changes.html" class="md-nav__link">
<span title="/changes.rst (reference label)" class="md-ellipsis">Change Log</span>
</a>
</li>
</ul>
</nav>
</div>
</div>
</div>
<div class="md-sidebar md-sidebar--secondary" data-md-component="sidebar" data-md-type="toc" >
<div class="md-sidebar__scrollwrap">
<div class="md-sidebar__inner">
<nav class="md-nav md-nav--secondary">
<label class="md-nav__title" for="__toc">
<span class="md-nav__icon md-icon"></span>
Contents
</label>
<ul class="md-nav__list" data-md-component="toc" data-md-scrollfix>
<li class="md-nav__item">
<a href="#volatility-modeling" class="md-nav__link">
<span title="/api.rst#volatility-modeling (reference label)" class="md-ellipsis">Volatility Modeling</span>
</a>
<nav class="md-nav" aria-label="Volatility Modeling">
<ul class="md-nav__list">
<li class="md-nav__item">
<a href="#high-level" class="md-nav__link">
<span title="/api.rst#high-level (reference label)" class="md-ellipsis">High-<wbr>level</span>
</a>
</li>
<li class="md-nav__item">
<a href="#mean-specification" class="md-nav__link">
<span title="/api.rst#mean-specification (reference label)" class="md-ellipsis">Mean Specification</span>
</a>
</li>
<li class="md-nav__item">
<a href="#volatility-process-specification" class="md-nav__link">
<span title="/api.rst#volatility-process-specification (reference label)" class="md-ellipsis">Volatility Process Specification</span>
</a>
</li>
<li class="md-nav__item">
<a href="#shock-distributions" class="md-nav__link">
<span title="/api.rst#shock-distributions (reference label)" class="md-ellipsis">Shock Distributions</span>
</a>
</li>
</ul>
</nav>
</li>
<li class="md-nav__item">
<a href="#unit-root-testing" class="md-nav__link">
<span title="/api.rst#unit-root-testing (reference label)" class="md-ellipsis">Unit Root Testing</span>
</a>
</li>
<li class="md-nav__item">
<a href="#cointegration-testing" class="md-nav__link">
<span title="/api.rst#cointegration-testing (reference label)" class="md-ellipsis">Cointegration Testing</span>
</a>
</li>
<li class="md-nav__item">
<a href="#cointegrating-relationship-estimation" class="md-nav__link">
<span title="/api.rst#cointegrating-relationship-estimation (reference label)" class="md-ellipsis">Cointegrating Relationship Estimation</span>
</a>
</li>
<li class="md-nav__item">
<a href="#bootstraps" class="md-nav__link">
<span title="/api.rst#bootstraps (reference label)" class="md-ellipsis">Bootstraps</span>
</a>
<nav class="md-nav" aria-label="Bootstraps">
<ul class="md-nav__list">
<li class="md-nav__item">
<a href="#block-length-selection" class="md-nav__link">
<span title="/api.rst#block-length-selection (reference label)" class="md-ellipsis">Block-<wbr>length Selection</span>
</a>
</li>
</ul>
</nav>
</li>
<li class="md-nav__item">
<a href="#testing-with-multiple-comparison" class="md-nav__link">
<span title="/api.rst#testing-with-multiple-comparison (reference label)" class="md-ellipsis">Testing with Multiple-<wbr>Comparison</span>
</a>
</li>
<li class="md-nav__item">
<a href="#long-run-covariance-hac-estimation" class="md-nav__link">
<span title="/api.rst#long-run-covariance-hac-estimation (reference label)" class="md-ellipsis">Long-<wbr>run Covariance <wbr>(HAC) Estimation</span>
</a>
</li>
</ul>
</nav>
</div>
</div>
</div>
<div class="md-content" data-md-component="content">
<article class="md-content__inner md-typeset" role="main">
<h1 id="api-reference">API Reference<a class="headerlink" href="#api-reference" title="Link to this heading">¶</a></h1>
<p>This page lists contains a list of the essential end-user API functions
and classes.</p>
<h2 id="volatility-modeling">Volatility Modeling<a class="headerlink" href="#volatility-modeling" title="Link to this heading">¶</a></h2>
<h3 id="high-level">High-level<a class="headerlink" href="#high-level" title="Link to this heading">¶</a></h3>
<table class="autosummary longtable docutils data align-default">
<tbody>
<tr class="row-odd"><td><p><a class="reference internal" href="univariate/introduction.html#arch.univariate.arch_model" title="arch.univariate.arch_model (Python function) — Initialization of common ARCH model specifications"><code class="xref py py-obj docutils literal notranslate"><span class="pre">arch_model</span></code></a>(y[, x, mean, lags, vol, p, o, q, ...])</p></td>
<td><p>Initialization of common ARCH model specifications</p></td>
</tr>
</tbody>
</table>
<h3 id="mean-specification">Mean Specification<a class="headerlink" href="#mean-specification" title="Link to this heading">¶</a></h3>
<table class="autosummary longtable docutils data align-default">
<tbody>
<tr class="row-odd"><td><p><a class="reference internal" href="univariate/generated/arch.univariate.ConstantMean.html#arch.univariate.ConstantMean" title="arch.univariate.ConstantMean (Python class) — Constant mean model estimation and simulation."><code class="xref py py-obj docutils literal notranslate"><span class="pre">ConstantMean</span></code></a>([y, hold_back, volatility, ...])</p></td>
<td><p>Constant mean model estimation and simulation.</p></td>
</tr>
<tr class="row-even"><td><p><a class="reference internal" href="univariate/generated/arch.univariate.ZeroMean.html#arch.univariate.ZeroMean" title="arch.univariate.ZeroMean (Python class) — Model with zero conditional mean estimation and simulation"><code class="xref py py-obj docutils literal notranslate"><span class="pre">ZeroMean</span></code></a>([y, hold_back, volatility, ...])</p></td>
<td><p>Model with zero conditional mean estimation and simulation</p></td>
</tr>
<tr class="row-odd"><td><p><a class="reference internal" href="univariate/generated/arch.univariate.HARX.html#arch.univariate.HARX" title="arch.univariate.HARX (Python class) — Heterogeneous Autoregression (HAR), with optional exogenous regressors, model estimation and simulation"><code class="xref py py-obj docutils literal notranslate"><span class="pre">HARX</span></code></a>([y, x, lags, constant, use_rotated, ...])</p></td>
<td><p>Heterogeneous Autoregression (HAR), with optional exogenous regressors, model estimation and simulation</p></td>
</tr>
<tr class="row-even"><td><p><a class="reference internal" href="univariate/generated/arch.univariate.ARX.html#arch.univariate.ARX" title="arch.univariate.ARX (Python class) — Autoregressive model with optional exogenous regressors estimation and simulation"><code class="xref py py-obj docutils literal notranslate"><span class="pre">ARX</span></code></a>([y, x, lags, constant, hold_back, ...])</p></td>
<td><p>Autoregressive model with optional exogenous regressors estimation and simulation</p></td>
</tr>
<tr class="row-odd"><td><p><a class="reference internal" href="univariate/generated/arch.univariate.LS.html#arch.univariate.LS" title="arch.univariate.LS (Python class) — Least squares model estimation and simulation"><code class="xref py py-obj docutils literal notranslate"><span class="pre">LS</span></code></a>([y, x, constant, hold_back, volatility, ...])</p></td>
<td><p>Least squares model estimation and simulation</p></td>
</tr>
</tbody>
</table>
<h3 id="volatility-process-specification">Volatility Process Specification<a class="headerlink" href="#volatility-process-specification" title="Link to this heading">¶</a></h3>
<table class="autosummary longtable docutils data align-default">
<tbody>
<tr class="row-odd"><td><p><a class="reference internal" href="univariate/generated/arch.univariate.GARCH.html#arch.univariate.GARCH" title="arch.univariate.GARCH (Python class) — GARCH and related model estimation"><code class="xref py py-obj docutils literal notranslate"><span class="pre">GARCH</span></code></a>([p, o, q, power])</p></td>
<td><p>GARCH and related model estimation</p></td>
</tr>
<tr class="row-even"><td><p><a class="reference internal" href="univariate/generated/arch.univariate.EGARCH.html#arch.univariate.EGARCH" title="arch.univariate.EGARCH (Python class) — EGARCH model estimation"><code class="xref py py-obj docutils literal notranslate"><span class="pre">EGARCH</span></code></a>([p, o, q])</p></td>
<td><p>EGARCH model estimation</p></td>
</tr>
<tr class="row-odd"><td><p><a class="reference internal" href="univariate/generated/arch.univariate.HARCH.html#arch.univariate.HARCH" title="arch.univariate.HARCH (Python class) — Heterogeneous ARCH process"><code class="xref py py-obj docutils literal notranslate"><span class="pre">HARCH</span></code></a>([lags])</p></td>
<td><p>Heterogeneous ARCH process</p></td>
</tr>
<tr class="row-even"><td><p><a class="reference internal" href="univariate/generated/arch.univariate.FIGARCH.html#arch.univariate.FIGARCH" title="arch.univariate.FIGARCH (Python class) — FIGARCH model"><code class="xref py py-obj docutils literal notranslate"><span class="pre">FIGARCH</span></code></a>([p, q, power, truncation])</p></td>
<td><p>FIGARCH model</p></td>
</tr>
<tr class="row-odd"><td><p><a class="reference internal" href="univariate/generated/arch.univariate.MIDASHyperbolic.html#arch.univariate.MIDASHyperbolic" title="arch.univariate.MIDASHyperbolic (Python class) — MIDAS Hyperbolic ARCH process"><code class="xref py py-obj docutils literal notranslate"><span class="pre">MIDASHyperbolic</span></code></a>([m, asym])</p></td>
<td><p>MIDAS Hyperbolic ARCH process</p></td>
</tr>
<tr class="row-even"><td><p><a class="reference internal" href="univariate/generated/arch.univariate.EWMAVariance.html#arch.univariate.EWMAVariance" title="arch.univariate.EWMAVariance (Python class) — Exponentially Weighted Moving-Average (RiskMetrics) Variance process"><code class="xref py py-obj docutils literal notranslate"><span class="pre">EWMAVariance</span></code></a>([lam])</p></td>
<td><p>Exponentially Weighted Moving-Average (RiskMetrics) Variance process</p></td>
</tr>
<tr class="row-odd"><td><p><a class="reference internal" href="univariate/generated/arch.univariate.RiskMetrics2006.html#arch.univariate.RiskMetrics2006" title="arch.univariate.RiskMetrics2006 (Python class) — RiskMetrics 2006 Variance process"><code class="xref py py-obj docutils literal notranslate"><span class="pre">RiskMetrics2006</span></code></a>([tau0, tau1, kmax, rho])</p></td>
<td><p>RiskMetrics 2006 Variance process</p></td>
</tr>
<tr class="row-even"><td><p><a class="reference internal" href="univariate/generated/arch.univariate.ConstantVariance.html#arch.univariate.ConstantVariance" title="arch.univariate.ConstantVariance (Python class) — Constant volatility process"><code class="xref py py-obj docutils literal notranslate"><span class="pre">ConstantVariance</span></code></a>()</p></td>
<td><p>Constant volatility process</p></td>
</tr>
<tr class="row-odd"><td><p><a class="reference internal" href="univariate/generated/arch.univariate.FixedVariance.html#arch.univariate.FixedVariance" title="arch.univariate.FixedVariance (Python class) — Fixed volatility process"><code class="xref py py-obj docutils literal notranslate"><span class="pre">FixedVariance</span></code></a>(variance[, unit_scale])</p></td>
<td><p>Fixed volatility process</p></td>
</tr>
</tbody>
</table>
<h3 id="shock-distributions">Shock Distributions<a class="headerlink" href="#shock-distributions" title="Link to this heading">¶</a></h3>
<table class="autosummary longtable docutils data align-default">
<tbody>
<tr class="row-odd"><td><p><a class="reference internal" href="univariate/generated/arch.univariate.Normal.html#arch.univariate.Normal" title="arch.univariate.Normal (Python class) — Standard normal distribution for use with ARCH models"><code class="xref py py-obj docutils literal notranslate"><span class="pre">Normal</span></code></a>([random_state, seed])</p></td>
<td><p>Standard normal distribution for use with ARCH models</p></td>
</tr>
<tr class="row-even"><td><p><a class="reference internal" href="univariate/generated/arch.univariate.StudentsT.html#arch.univariate.StudentsT" title="arch.univariate.StudentsT (Python class) — Standardized Student's distribution for use with ARCH models"><code class="xref py py-obj docutils literal notranslate"><span class="pre">StudentsT</span></code></a>([random_state, seed])</p></td>
<td><p>Standardized Student's distribution for use with ARCH models</p></td>
</tr>
<tr class="row-odd"><td><p><a class="reference internal" href="univariate/generated/arch.univariate.SkewStudent.html#arch.univariate.SkewStudent" title="arch.univariate.SkewStudent (Python class) — Standardized Skewed Student's distribution for use with ARCH models"><code class="xref py py-obj docutils literal notranslate"><span class="pre">SkewStudent</span></code></a>([random_state, seed])</p></td>
<td><p>Standardized Skewed Student's distribution for use with ARCH models</p></td>
</tr>
<tr class="row-even"><td><p><a class="reference internal" href="univariate/generated/arch.univariate.GeneralizedError.html#arch.univariate.GeneralizedError" title="arch.univariate.GeneralizedError (Python class) — Generalized Error distribution for use with ARCH models"><code class="xref py py-obj docutils literal notranslate"><span class="pre">GeneralizedError</span></code></a>([random_state, seed])</p></td>
<td><p>Generalized Error distribution for use with ARCH models</p></td>
</tr>
</tbody>
</table>
<h2 id="unit-root-testing">Unit Root Testing<a class="headerlink" href="#unit-root-testing" title="Link to this heading">¶</a></h2>
<table class="autosummary longtable docutils data align-default">
<tbody>
<tr class="row-odd"><td><p><a class="reference internal" href="unitroot/generated/arch.unitroot.ADF.html#arch.unitroot.ADF" title="arch.unitroot.ADF (Python class) — Augmented Dickey-Fuller unit root test"><code class="xref py py-obj docutils literal notranslate"><span class="pre">ADF</span></code></a>(y[, lags, trend, max_lags, method, ...])</p></td>
<td><p>Augmented Dickey-Fuller unit root test</p></td>
</tr>
<tr class="row-even"><td><p><a class="reference internal" href="unitroot/generated/arch.unitroot.DFGLS.html#arch.unitroot.DFGLS" title="arch.unitroot.DFGLS (Python class) — Elliott, Rothenberg and Stock's (1) GLS detrended Dickey-Fuller"><code class="xref py py-obj docutils literal notranslate"><span class="pre">DFGLS</span></code></a>(y[, lags, trend, max_lags, method, ...])</p></td>
<td><p>Elliott, Rothenberg and Stock's (<a href="#id2"><span class="problematic" id="id1">[1]_</span></a>) GLS detrended Dickey-Fuller</p></td>
</tr>
<tr class="row-odd"><td><p><a class="reference internal" href="unitroot/generated/arch.unitroot.PhillipsPerron.html#arch.unitroot.PhillipsPerron" title="arch.unitroot.PhillipsPerron (Python class) — Phillips-Perron unit root test"><code class="xref py py-obj docutils literal notranslate"><span class="pre">PhillipsPerron</span></code></a>(y[, lags, trend, test_type])</p></td>
<td><p>Phillips-Perron unit root test</p></td>
</tr>
<tr class="row-even"><td><p><a class="reference internal" href="unitroot/generated/arch.unitroot.ZivotAndrews.html#arch.unitroot.ZivotAndrews" title="arch.unitroot.ZivotAndrews (Python class) — Zivot-Andrews structural-break unit-root test"><code class="xref py py-obj docutils literal notranslate"><span class="pre">ZivotAndrews</span></code></a>(y[, lags, trend, trim, ...])</p></td>
<td><p>Zivot-Andrews structural-break unit-root test</p></td>
</tr>
<tr class="row-odd"><td><p><a class="reference internal" href="unitroot/generated/arch.unitroot.VarianceRatio.html#arch.unitroot.VarianceRatio" title="arch.unitroot.VarianceRatio (Python class) — Variance Ratio test of a random walk."><code class="xref py py-obj docutils literal notranslate"><span class="pre">VarianceRatio</span></code></a>(y[, lags, trend, debiased, ...])</p></td>
<td><p>Variance Ratio test of a random walk.</p></td>
</tr>
<tr class="row-even"><td><p><a class="reference internal" href="unitroot/generated/arch.unitroot.KPSS.html#arch.unitroot.KPSS" title="arch.unitroot.KPSS (Python class) — Kwiatkowski, Phillips, Schmidt and Shin (KPSS) stationarity test"><code class="xref py py-obj docutils literal notranslate"><span class="pre">KPSS</span></code></a>(y[, lags, trend])</p></td>
<td><p>Kwiatkowski, Phillips, Schmidt and Shin (KPSS) stationarity test</p></td>
</tr>
</tbody>
</table>
<h2 id="cointegration-testing">Cointegration Testing<a class="headerlink" href="#cointegration-testing" title="Link to this heading">¶</a></h2>
<table class="autosummary longtable docutils data align-default">
<tbody>
<tr class="row-odd"><td><p><a class="reference internal" href="unitroot/generated/arch.unitroot.cointegration.engle_granger.html#arch.unitroot.cointegration.engle_granger" title="arch.unitroot.cointegration.engle_granger (Python function) — Test for cointegration within a set of time series."><code class="xref py py-obj docutils literal notranslate"><span class="pre">engle_granger</span></code></a>(y, x[, trend, lags, max_lags, ...])</p></td>
<td><p>Test for cointegration within a set of time series.</p></td>
</tr>
<tr class="row-even"><td><p><a class="reference internal" href="unitroot/generated/arch.unitroot.cointegration.phillips_ouliaris.html#arch.unitroot.cointegration.phillips_ouliaris" title="arch.unitroot.cointegration.phillips_ouliaris (Python function) — Test for cointegration within a set of time series."><code class="xref py py-obj docutils literal notranslate"><span class="pre">phillips_ouliaris</span></code></a>(y, x[, trend, test_type, ...])</p></td>
<td><p>Test for cointegration within a set of time series.</p></td>
</tr>
</tbody>
</table>
<h2 id="cointegrating-relationship-estimation">Cointegrating Relationship Estimation<a class="headerlink" href="#cointegrating-relationship-estimation" title="Link to this heading">¶</a></h2>
<table class="autosummary longtable docutils data align-default">
<tbody>
<tr class="row-odd"><td><p><a class="reference internal" href="unitroot/generated/arch.unitroot.cointegration.CanonicalCointegratingReg.html#arch.unitroot.cointegration.CanonicalCointegratingReg" title="arch.unitroot.cointegration.CanonicalCointegratingReg (Python class) — Canonical Cointegrating Regression cointegrating vector estimation."><code class="xref py py-obj docutils literal notranslate"><span class="pre">CanonicalCointegratingReg</span></code></a>(y, x[, trend, x_trend])</p></td>
<td><p>Canonical Cointegrating Regression cointegrating vector estimation.</p></td>
</tr>
<tr class="row-even"><td><p><a class="reference internal" href="unitroot/generated/arch.unitroot.cointegration.DynamicOLS.html#arch.unitroot.cointegration.DynamicOLS" title="arch.unitroot.cointegration.DynamicOLS (Python class) — Dynamic OLS (DOLS) cointegrating vector estimation"><code class="xref py py-obj docutils literal notranslate"><span class="pre">DynamicOLS</span></code></a>(y, x[, trend, lags, leads, ...])</p></td>
<td><p>Dynamic OLS (DOLS) cointegrating vector estimation</p></td>
</tr>
<tr class="row-odd"><td><p><a class="reference internal" href="unitroot/generated/arch.unitroot.cointegration.FullyModifiedOLS.html#arch.unitroot.cointegration.FullyModifiedOLS" title="arch.unitroot.cointegration.FullyModifiedOLS (Python class) — Fully Modified OLS cointegrating vector estimation."><code class="xref py py-obj docutils literal notranslate"><span class="pre">FullyModifiedOLS</span></code></a>(y, x[, trend, x_trend])</p></td>
<td><p>Fully Modified OLS cointegrating vector estimation.</p></td>
</tr>
</tbody>
</table>
<h2 id="bootstraps">Bootstraps<a class="headerlink" href="#bootstraps" title="Link to this heading">¶</a></h2>
<table class="autosummary longtable docutils data align-default">
<tbody>
<tr class="row-odd"><td><p><a class="reference internal" href="bootstrap/generated/arch.bootstrap.IIDBootstrap.html#arch.bootstrap.IIDBootstrap" title="arch.bootstrap.IIDBootstrap (Python class) — Bootstrap using uniform resampling"><code class="xref py py-obj docutils literal notranslate"><span class="pre">IIDBootstrap</span></code></a>(*args[, random_state, seed])</p></td>
<td><p>Bootstrap using uniform resampling</p></td>
</tr>
<tr class="row-even"><td><p><a class="reference internal" href="bootstrap/generated/arch.bootstrap.IndependentSamplesBootstrap.html#arch.bootstrap.IndependentSamplesBootstrap" title="arch.bootstrap.IndependentSamplesBootstrap (Python class) — Bootstrap where each input is independently resampled"><code class="xref py py-obj docutils literal notranslate"><span class="pre">IndependentSamplesBootstrap</span></code></a>(*args[, ...])</p></td>
<td><p>Bootstrap where each input is independently resampled</p></td>
</tr>
<tr class="row-odd"><td><p><a class="reference internal" href="bootstrap/generated/arch.bootstrap.StationaryBootstrap.html#arch.bootstrap.StationaryBootstrap" title="arch.bootstrap.StationaryBootstrap (Python class) — Politis and Romano (1994) bootstrap with expon distributed block sizes"><code class="xref py py-obj docutils literal notranslate"><span class="pre">StationaryBootstrap</span></code></a>(block_size, *args[, ...])</p></td>
<td><p>Politis and Romano (1994) bootstrap with expon distributed block sizes</p></td>
</tr>
<tr class="row-even"><td><p><a class="reference internal" href="bootstrap/generated/arch.bootstrap.CircularBlockBootstrap.html#arch.bootstrap.CircularBlockBootstrap" title="arch.bootstrap.CircularBlockBootstrap (Python class) — Bootstrap using blocks of the same length with end-to-start wrap around"><code class="xref py py-obj docutils literal notranslate"><span class="pre">CircularBlockBootstrap</span></code></a>(block_size, *args[, ...])</p></td>
<td><p>Bootstrap using blocks of the same length with end-to-start wrap around</p></td>
</tr>
<tr class="row-odd"><td><p><a class="reference internal" href="bootstrap/generated/arch.bootstrap.MovingBlockBootstrap.html#arch.bootstrap.MovingBlockBootstrap" title="arch.bootstrap.MovingBlockBootstrap (Python class) — Bootstrap using blocks of the same length without wrap around"><code class="xref py py-obj docutils literal notranslate"><span class="pre">MovingBlockBootstrap</span></code></a>(block_size, *args[, ...])</p></td>
<td><p>Bootstrap using blocks of the same length without wrap around</p></td>
</tr>
</tbody>
</table>
<h3 id="block-length-selection">Block-length Selection<a class="headerlink" href="#block-length-selection" title="Link to this heading">¶</a></h3>
<table class="autosummary longtable docutils data align-default">
<tbody>
<tr class="row-odd"><td><p><a class="reference internal" href="bootstrap/generated/arch.bootstrap.optimal_block_length.html#arch.bootstrap.optimal_block_length" title="arch.bootstrap.optimal_block_length (Python function) — Estimate optimal window length for time-series bootstraps"><code class="xref py py-obj docutils literal notranslate"><span class="pre">optimal_block_length</span></code></a>(x)</p></td>
<td><p>Estimate optimal window length for time-series bootstraps</p></td>
</tr>
</tbody>
</table>
<h2 id="testing-with-multiple-comparison">Testing with Multiple-Comparison<a class="headerlink" href="#testing-with-multiple-comparison" title="Link to this heading">¶</a></h2>
<table class="autosummary longtable docutils data align-default">
<tbody>
<tr class="row-odd"><td><p><a class="reference internal" href="multiple-comparison/generated/arch.bootstrap.SPA.html#arch.bootstrap.SPA" title="arch.bootstrap.SPA (Python class) — Test of Superior Predictive Ability (SPA) of White and Hansen."><code class="xref py py-obj docutils literal notranslate"><span class="pre">SPA</span></code></a>(benchmark, models[, block_size, reps, ...])</p></td>
<td><p>Test of Superior Predictive Ability (SPA) of White and Hansen.</p></td>
</tr>
<tr class="row-even"><td><p><a class="reference internal" href="multiple-comparison/generated/arch.bootstrap.MCS.html#arch.bootstrap.MCS" title="arch.bootstrap.MCS (Python class) — Model Confidence Set (MCS) of Hansen, Lunde and Nason."><code class="xref py py-obj docutils literal notranslate"><span class="pre">MCS</span></code></a>(losses, size[, reps, block_size, ...])</p></td>
<td><p>Model Confidence Set (MCS) of Hansen, Lunde and Nason.</p></td>
</tr>
<tr class="row-odd"><td><p><a class="reference internal" href="multiple-comparison/generated/arch.bootstrap.StepM.html#arch.bootstrap.StepM" title="arch.bootstrap.StepM (Python class) — StepM multiple comparison procedure of Romano and Wolf."><code class="xref py py-obj docutils literal notranslate"><span class="pre">StepM</span></code></a>(benchmark, models[, size, block_size, ...])</p></td>
<td><p>StepM multiple comparison procedure of Romano and Wolf.</p></td>
</tr>
</tbody>
</table>
<h2 id="long-run-covariance-hac-estimation">Long-run Covariance (HAC) Estimation<a class="headerlink" href="#long-run-covariance-hac-estimation" title="Link to this heading">¶</a></h2>
<table class="autosummary longtable docutils data align-default">
<tbody>
<tr class="row-odd"><td><p><a class="reference internal" href="covariance/generated/arch.covariance.kernel.Bartlett.html#arch.covariance.kernel.Bartlett" title="arch.covariance.kernel.Bartlett (Python class) — Bartlett's (Newey-West) kernel covariance estimation."><code class="xref py py-obj docutils literal notranslate"><span class="pre">Bartlett</span></code></a>(x[, bandwidth, df_adjust, center, ...])</p></td>
<td><p>Bartlett's (Newey-West) kernel covariance estimation.</p></td>
</tr>
<tr class="row-even"><td><p><a class="reference internal" href="covariance/generated/arch.covariance.kernel.Parzen.html#arch.covariance.kernel.Parzen" title="arch.covariance.kernel.Parzen (Python class) — Parzen's kernel covariance estimation."><code class="xref py py-obj docutils literal notranslate"><span class="pre">Parzen</span></code></a>(x[, bandwidth, df_adjust, center, ...])</p></td>
<td><p>Parzen's kernel covariance estimation.</p></td>
</tr>
<tr class="row-odd"><td><p><a class="reference internal" href="covariance/generated/arch.covariance.kernel.ParzenCauchy.html#arch.covariance.kernel.ParzenCauchy" title="arch.covariance.kernel.ParzenCauchy (Python class) — Parzen's Cauchy kernel covariance estimation."><code class="xref py py-obj docutils literal notranslate"><span class="pre">ParzenCauchy</span></code></a>(x[, bandwidth, df_adjust, ...])</p></td>
<td><p>Parzen's Cauchy kernel covariance estimation.</p></td>
</tr>
<tr class="row-even"><td><p><a class="reference internal" href="covariance/generated/arch.covariance.kernel.ParzenGeometric.html#arch.covariance.kernel.ParzenGeometric" title="arch.covariance.kernel.ParzenGeometric (Python class) — Parzen's Geometric kernel covariance estimation."><code class="xref py py-obj docutils literal notranslate"><span class="pre">ParzenGeometric</span></code></a>(x[, bandwidth, df_adjust, ...])</p></td>
<td><p>Parzen's Geometric kernel covariance estimation.</p></td>
</tr>
<tr class="row-odd"><td><p><a class="reference internal" href="covariance/generated/arch.covariance.kernel.ParzenRiesz.html#arch.covariance.kernel.ParzenRiesz" title="arch.covariance.kernel.ParzenRiesz (Python class) — Parzen-Reisz kernel covariance estimation."><code class="xref py py-obj docutils literal notranslate"><span class="pre">ParzenRiesz</span></code></a>(x[, bandwidth, df_adjust, ...])</p></td>
<td><p>Parzen-Reisz kernel covariance estimation.</p></td>
</tr>
<tr class="row-even"><td><p><a class="reference internal" href="covariance/generated/arch.covariance.kernel.QuadraticSpectral.html#arch.covariance.kernel.QuadraticSpectral" title="arch.covariance.kernel.QuadraticSpectral (Python class) — Quadratic-Spectral (Andrews') kernel covariance estimation."><code class="xref py py-obj docutils literal notranslate"><span class="pre">QuadraticSpectral</span></code></a>(x[, bandwidth, df_adjust, ...])</p></td>
<td><p>Quadratic-Spectral (Andrews') kernel covariance estimation.</p></td>
</tr>
<tr class="row-odd"><td><p><a class="reference internal" href="covariance/generated/arch.covariance.kernel.TukeyHamming.html#arch.covariance.kernel.TukeyHamming" title="arch.covariance.kernel.TukeyHamming (Python class) — Tukey-Hamming kernel covariance estimation."><code class="xref py py-obj docutils literal notranslate"><span class="pre">TukeyHamming</span></code></a>(x[, bandwidth, df_adjust, ...])</p></td>
<td><p>Tukey-Hamming kernel covariance estimation.</p></td>
</tr>
<tr class="row-even"><td><p><a class="reference internal" href="covariance/generated/arch.covariance.kernel.TukeyHanning.html#arch.covariance.kernel.TukeyHanning" title="arch.covariance.kernel.TukeyHanning (Python class) — Tukey-Hanning kernel covariance estimation."><code class="xref py py-obj docutils literal notranslate"><span class="pre">TukeyHanning</span></code></a>(x[, bandwidth, df_adjust, ...])</p></td>
<td><p>Tukey-Hanning kernel covariance estimation.</p></td>
</tr>
<tr class="row-odd"><td><p><a class="reference internal" href="covariance/generated/arch.covariance.kernel.TukeyParzen.html#arch.covariance.kernel.TukeyParzen" title="arch.covariance.kernel.TukeyParzen (Python class) — Tukey-Parzen kernel covariance estimation."><code class="xref py py-obj docutils literal notranslate"><span class="pre">TukeyParzen</span></code></a>(x[, bandwidth, df_adjust, ...])</p></td>
<td><p>Tukey-Parzen kernel covariance estimation.</p></td>
</tr>
</tbody>
</table>
</article>
</div>
</div>
</main>
<footer class="md-footer">
<nav class="md-footer__inner md-grid" aria-label="Footer" >
<a href="covariance/generated/generated/arch.covariance.kernel.CovarianceEstimate.short_run.html" class="md-footer__link md-footer__link--prev" aria-label="Previous: arch.covariance.kernel.CovarianceEstimate.short_run" rel="prev">
<div class="md-footer__button md-icon">
<svg xmlns="http://www.w3.org/2000/svg" viewBox="0 0 24 24"><path d="M20 11v2H8l5.5 5.5-1.42 1.42L4.16 12l7.92-7.92L13.5 5.5 8 11h12Z"/></svg>
</div>
<div class="md-footer__title">
<div class="md-ellipsis">
<span class="md-footer__direction">
Previous
</span>
arch.covariance.kernel.CovarianceEstimate.short_run
</div>
</div>
</a>
<a href="changes.html" class="md-footer__link md-footer__link--next" aria-label="Next: Change Logs" rel="next">
<div class="md-footer__title">
<div class="md-ellipsis">
<span class="md-footer__direction">
Next
</span>
Change Logs
</div>
</div>
<div class="md-footer__button md-icon">
<svg xmlns="http://www.w3.org/2000/svg" viewBox="0 0 24 24"><path d="M4 11v2h12l-5.5 5.5 1.42 1.42L19.84 12l-7.92-7.92L10.5 5.5 16 11H4Z"/></svg>
</div>
</a>
</nav>
<div class="md-footer-meta md-typeset">
<div class="md-footer-meta__inner md-grid">
<div class="md-copyright">
<div class="md-footer-copyright__highlight">
© Copyright 2021, Kevin Sheppard.
</div>
Created using
<a href="https://www.sphinx-doc.org/" target="_blank" rel="noopener">Sphinx</a>
7.2.6.
and
<a href="https://github.com/jbms/sphinx-immaterial/" target="_blank" rel="noopener">Sphinx-Immaterial</a>
</div>
<div class="md-social">
<a href="https://github.com/bashtage/arch" target="_blank" rel="noopener" title="Source on github.com" class="md-social__link">
<svg xmlns="http://www.w3.org/2000/svg" viewBox="0 0 496 512"><!--! Font Awesome Free 6.2.0 by @fontawesome - https://fontawesome.com License - https://fontawesome.com/license/free (Icons: CC BY 4.0, Fonts: SIL OFL 1.1, Code: MIT License) Copyright 2022 Fonticons, Inc.--><path d="M165.9 397.4c0 2-2.3 3.6-5.2 3.6-3.3.3-5.6-1.3-5.6-3.6 0-2 2.3-3.6 5.2-3.6 3-.3 5.6 1.3 5.6 3.6zm-31.1-4.5c-.7 2 1.3 4.3 4.3 4.9 2.6 1 5.6 0 6.2-2s-1.3-4.3-4.3-5.2c-2.6-.7-5.5.3-6.2 2.3zm44.2-1.7c-2.9.7-4.9 2.6-4.6 4.9.3 2 2.9 3.3 5.9 2.6 2.9-.7 4.9-2.6 4.6-4.6-.3-1.9-3-3.2-5.9-2.9zM244.8 8C106.1 8 0 113.3 0 252c0 110.9 69.8 205.8 169.5 239.2 12.8 2.3 17.3-5.6 17.3-12.1 0-6.2-.3-40.4-.3-61.4 0 0-70 15-84.7-29.8 0 0-11.4-29.1-27.8-36.6 0 0-22.9-15.7 1.6-15.4 0 0 24.9 2 38.6 25.8 21.9 38.6 58.6 27.5 72.9 20.9 2.3-16 8.8-27.1 16-33.7-55.9-6.2-112.3-14.3-112.3-110.5 0-27.5 7.6-41.3 23.6-58.9-2.6-6.5-11.1-33.3 2.6-67.9 20.9-6.5 69 27 69 27 20-5.6 41.5-8.5 62.8-8.5s42.8 2.9 62.8 8.5c0 0 48.1-33.6 69-27 13.7 34.7 5.2 61.4 2.6 67.9 16 17.7 25.8 31.5 25.8 58.9 0 96.5-58.9 104.2-114.8 110.5 9.2 7.9 17 22.9 17 46.4 0 33.7-.3 75.4-.3 83.6 0 6.5 4.6 14.4 17.3 12.1C428.2 457.8 496 362.9 496 252 496 113.3 383.5 8 244.8 8zM97.2 352.9c-1.3 1-1 3.3.7 5.2 1.6 1.6 3.9 2.3 5.2 1 1.3-1 1-3.3-.7-5.2-1.6-1.6-3.9-2.3-5.2-1zm-10.8-8.1c-.7 1.3.3 2.9 2.3 3.9 1.6 1 3.6.7 4.3-.7.7-1.3-.3-2.9-2.3-3.9-2-.6-3.6-.3-4.3.7zm32.4 35.6c-1.6 1.3-1 4.3 1.3 6.2 2.3 2.3 5.2 2.6 6.5 1 1.3-1.3.7-4.3-1.3-6.2-2.2-2.3-5.2-2.6-6.5-1zm-11.4-14.7c-1.6 1-1.6 3.6 0 5.9 1.6 2.3 4.3 3.3 5.6 2.3 1.6-1.3 1.6-3.9 0-6.2-1.4-2.3-4-3.3-5.6-2z"/></svg>
</a>
<a href="https://pypi.org/project/arch/" target="_blank" rel="noopener" title="pypi.org" class="md-social__link">
<svg xmlns="http://www.w3.org/2000/svg" viewBox="0 0 448 512"><!--! Font Awesome Free 6.2.0 by @fontawesome - https://fontawesome.com License - https://fontawesome.com/license/free (Icons: CC BY 4.0, Fonts: SIL OFL 1.1, Code: MIT License) Copyright 2022 Fonticons, Inc.--><path d="M439.8 200.5c-7.7-30.9-22.3-54.2-53.4-54.2h-40.1v47.4c0 36.8-31.2 67.8-66.8 67.8H172.7c-29.2 0-53.4 25-53.4 54.3v101.8c0 29 25.2 46 53.4 54.3 33.8 9.9 66.3 11.7 106.8 0 26.9-7.8 53.4-23.5 53.4-54.3v-40.7H226.2v-13.6h160.2c31.1 0 42.6-21.7 53.4-54.2 11.2-33.5 10.7-65.7 0-108.6zM286.2 404c11.1 0 20.1 9.1 20.1 20.3 0 11.3-9 20.4-20.1 20.4-11 0-20.1-9.2-20.1-20.4.1-11.3 9.1-20.3 20.1-20.3zM167.8 248.1h106.8c29.7 0 53.4-24.5 53.4-54.3V91.9c0-29-24.4-50.7-53.4-55.6-35.8-5.9-74.7-5.6-106.8.1-45.2 8-53.4 24.7-53.4 55.6v40.7h106.9v13.6h-147c-31.1 0-58.3 18.7-66.8 54.2-9.8 40.7-10.2 66.1 0 108.6 7.6 31.6 25.7 54.2 56.8 54.2H101v-48.8c0-35.3 30.5-66.4 66.8-66.4zm-6.7-142.6c-11.1 0-20.1-9.1-20.1-20.3.1-11.3 9-20.4 20.1-20.4 11 0 20.1 9.2 20.1 20.4s-9 20.3-20.1 20.3z"/></svg>
</a>
<a href="https://doi.org/10.5281/zenodo.593254" target="_blank" rel="noopener" title="doi.org" class="md-social__link">
<svg xmlns="http://www.w3.org/2000/svg" viewBox="0 0 448 512"><!--! Font Awesome Free 6.2.0 by @fontawesome - https://fontawesome.com License - https://fontawesome.com/license/free (Icons: CC BY 4.0, Fonts: SIL OFL 1.1, Code: MIT License) Copyright 2022 Fonticons, Inc.--><path d="M0 216C0 149.7 53.7 96 120 96h8c17.7 0 32 14.3 32 32s-14.3 32-32 32h-8c-30.9 0-56 25.1-56 56v8h64c35.3 0 64 28.7 64 64v64c0 35.3-28.7 64-64 64H64c-35.3 0-64-28.7-64-64V216zm256 0c0-66.3 53.7-120 120-120h8c17.7 0 32 14.3 32 32s-14.3 32-32 32h-8c-30.9 0-56 25.1-56 56v8h64c35.3 0 64 28.7 64 64v64c0 35.3-28.7 64-64 64h-64c-35.3 0-64-28.7-64-64V216z"/></svg>
</a>
</div>
</div>
</div>
</footer>
</div>
<div class="md-dialog" data-md-component="dialog">
<div class="md-dialog__inner md-typeset"></div>
</div>
<script id="__config" type="application/json">{"base": ".", "features": [], "translations": {"clipboard.copied": "Copied to clipboard", "clipboard.copy": "Copy to clipboard", "search.config.lang": "en", "search.config.pipeline": "trimmer, stopWordFilter", "search.config.separator": "[\\s\\-]+", "search.placeholder": "Search", "search.result.more.one": "1 more on this page", "search.result.more.other": "# more on this page", "search.result.none": "No matching documents", "search.result.one": "1 matching document", "search.result.other": "# matching documents", "search.result.placeholder": "Type to start searching", "search.result.term.missing": "Missing", "select.version.title": "Select version"}, "version": {"provider": "mike", "staticVersions": [{"aliases": [], "title": "Release", "version": "https://bashtage.github.io/arch/"}, {"aliases": [], "title": "Development", "version": "https://bashtage.github.io/arch/devel/"}, {"aliases": [], "title": "RTD (Release)", "version": "https://arch.readthedocs.io/"}], "versionPath": null}}</script>
<script src="_static/sphinx_immaterial_theme.f9d9eeeb247ace16c.min.js?v=8ec58cb5"></script>
<script crossorigin="anonymous" integrity="sha256-Ae2Vz/4ePdIu6ZyI/5ZGsYnb+m0JlOmKPjt6XZ9JJkA=" src="https://cdnjs.cloudflare.com/ajax/libs/require.js/2.3.4/require.min.js"></script>
</body>
</html>