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Multivariate ARCH Tracking #242

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bashtage opened this issue Oct 8, 2018 · 1 comment
Open
14 tasks

Multivariate ARCH Tracking #242

bashtage opened this issue Oct 8, 2018 · 1 comment
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enhancement

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@bashtage
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bashtage commented Oct 8, 2018

Long-term plan to implement some multivariate GARCH models:

First Stage:

  • Base classes
  • Constant Covariance volatility
  • Multivariate Normal distribution
  • Constant Mean
    Second Stage:
  • VAR-X mean model
  • VAR, LR, Constant Mean refactor, ZeroMean as special cases of VAR-X
    Third Stage:
  • Scalar BEKK with 1-step estimation
  • Scalar BEKK with 2-step estimation
  • Scalar BEKK with 3-step estimation (targetting)
  • Scalar BEKK with composite estimation (1, 2 and 3 step)
    Fourth Stage:
  • Multivariate Student's t distribution
    Fifth Stage:
  • Other BEKK and Matrix GARCH models
  • DCC (1-step and 2-step, full and composite) and cDCC (1-, 2- and 3-step, full and composite)
  • Other GARCH models (OGARCH, GO-GARCH??)
@bashtage
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bashtage commented Oct 8, 2018

xref #201

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@bashtage