DCC-GARCH(1,1) volatility method for financial log returns. The distribution under the Normal Dist assumption.
Use case: python from mgarch import mgarch rt = (t, n) numpy matrix with t days of observation and n number of assets. vol = mgarch() vol.fit(rt) cov_nextday = vol.predict()
0.1.3
Multivariate GARCH
DCC-GARCH(1,1) volatility method for financial log returns. The distribution under the Normal Dist assumption.
Use case: python from mgarch import mgarch rt = (t, n) numpy matrix with t days of observation and n number of assets. vol = mgarch() vol.fit(rt) cov_nextday = vol.predict()