Issues

• ENH: VaR backtests (Kupiec, Christoffersen, Basel traffic light) and a "maximum undetectable understatement" diagnostic

  bashtage/arch#904 · Filter by author sarthakguptaquant opened on Oct 13, 2026

• ENH: Andrews (1991) AR(1) plug-in bandwidth for the kernel covariance estimators

  bashtage/arch#887 · Filter by author ZacKienzle2 opened on Oct 8, 2026

• Analytic GJR forecasts assume E[z^2 1(z<0)] = 0.5 with skewed distributions

  bashtage/arch#867 · Filter by author nicoloangileri opened on Sep 25, 2026

• Technical caveats with advanced CI methods (bca, studentized) implemented for block bootstrap methods

  bashtage/arch#801 · Filter by author mjwillson opened on Sep 17, 2025
  1

• Support for obtaining p-values for significance tests from bootstrap classes

  bashtage/arch#800 · Filter by author mjwillson opened on Sep 17, 2025

• Suggestion: Introduce parameter inverse transformation after fit to rescaled time series

  bashtage/arch#748 · Filter by author Kayne88 opened on Oct 22, 2024
  2

• How to simulate GARCH data for Monte Carlo simulations?

  bashtage/arch#725 · Filter by author bluefinch83 opened on May 13, 2024
  1

• Can we introduce an user-defined optional lower-bound in the stationary constraint of the variance process?

  bashtage/arch#724 · Filter by author sitmo opened on May 11, 2024
  1

• Details on Hansen's Skewed T

  bashtage/arch#723 · Filter by author sitfo-js opened on Apr 17, 2024
  1

• Source for Long Run Covariance Estimator

  bashtage/arch#715 · Filter by author novdanody opened on Feb 20, 2024

• volatility forecast in comparison with realized volatility

  bashtage/arch#701 · Filter by author maryam1986safari opened on Dec 13, 2023
  3

• ENH: Add NGARCH specification to set of volatility processes

  bashtage/arch#636 · Filter by author itsNH98 opened on Apr 11, 2023
  1

• Rolling window forecast with rolling demean

  bashtage/arch#633 · Filter by author gavincyi opened on Mar 13, 2023
  3

• Local block bootstrap

  bashtage/arch#617 · Filter by author yngvem opened on Sep 29, 2022

• How to compare GARCH volatility forecast performance?

  bashtage/arch#607 · Filter by author BdeBuman opened on Sep 1, 2022

• Apply model to new data?

  bashtage/arch#605 · Filter by author msquaredds opened on Aug 19, 2022
  6

• ENH: Markov Switching (MS)-GARCH

  enhancementhelp wanted
  bashtage/arch#577 · Filter by author oronimbus opened on May 4, 2022
  1

• How to Combine This With ARMA model?

  help wantedquestion
  bashtage/arch#542 · Filter by author JonathanBechtel opened on Dec 13, 2021
  4

• ENH: FIAPARCH and FIEGARCH with ARCH package

  enhancementhelp wanted
  bashtage/arch#531 · Filter by author alejandro-cermeno opened on Sep 27, 2021
  2

• ENH: allow exogenous variable to be numpy 2-d array

  enhancement
  bashtage/arch#517 · Filter by author lfdmotta opened on Jul 29, 2021
  3

• ENH: Add a method to append new data to an existing model to simplify updating out-of-sample observations

  enhancement
  bashtage/arch#416 · Filter by author ddtpower3 opened on Oct 10, 2020
  2

  

• Li-Mak test for residual from arch model

  enhancement
  bashtage/arch#405 · Filter by author holder-fo opened on Aug 24, 2020
  2

• ROADMAP: Future plans

  enhancementhelp wantedroadmap
  bashtage/arch#351 · Filter by author bashtage opened on Feb 18, 2020
  3

• Bootstrap prediction interval

  enhancement
  bashtage/arch#323 · Filter by author david-waterworth opened on Nov 9, 2019
  9

  

• Multivariate ARCH Tracking

  enhancement
  bashtage/arch#242 · Filter by author bashtage opened on Oct 8, 2018
  2