def test_garch_no_o(self):
T, resids, = self.T, self.resids
sigma2, backcast = self.sigma2, self.backcast
parameters = np.array([.1, .4, .3, .2])
fresids = resids ** 2.0
sresids = np.sign(resids)
recpy.garch_recursion(parameters, fresids, sresids, sigma2,
1, 0, 1, T, backcast, self.var_bounds)
sigma2_python = sigma2.copy()
rec.garch_recursion(parameters, fresids, sresids, sigma2, 1, 0,
1, T, backcast, self.var_bounds)
assert_almost_equal(sigma2_python, sigma2)
def test_garch_power_1(self):
nobs, resids, = self.nobs, self.resids
sigma2, backcast = self.sigma2, self.backcast
parameters = np.array([.1, .4, .3, .2])
fresids = np.abs(resids) ** 1.0
sresids = np.sign(resids)
recpy.garch_recursion(parameters, fresids, sresids, sigma2,
1, 1, 1, nobs, backcast, self.var_bounds)
sigma2_python = sigma2.copy()
rec.garch_recursion(parameters, fresids, sresids, sigma2, 1, 1,
1, nobs, backcast, self.var_bounds)
assert_almost_equal(sigma2_python, sigma2)
def test_garch(self):
nobs, resids, = self.nobs, self.resids
sigma2, backcast = self.sigma2, self.backcast
parameters = np.array([.1, .4, .3, .2])
fresids = resids**2.0
sresids = np.sign(resids)
recpy.garch_recursion(parameters, fresids, sresids, sigma2, 1, 1, 1,
nobs, backcast, self.var_bounds)
sigma2_numba = sigma2.copy()
recpy.garch_recursion_python(parameters, fresids, sresids, sigma2, 1,
1, 1, nobs, backcast, self.var_bounds)
sigma2_python = sigma2.copy()
rec.garch_recursion(parameters, fresids, sresids, sigma2, 1, 1, 1,
nobs, backcast, self.var_bounds)
assert_almost_equal(sigma2_numba, sigma2)
assert_almost_equal(sigma2_python, sigma2)
parameters = np.array([.1, -.4, .3, .2])
recpy.garch_recursion_python(parameters, fresids, sresids, sigma2, 1,
1, 1, nobs, backcast, self.var_bounds)
assert np.all(sigma2 >= self.var_bounds[:, 0])
assert np.all(sigma2 <= 2 * self.var_bounds[:, 1])
parameters = np.array([.1, .4, 3, 2])
recpy.garch_recursion_python(parameters, fresids, sresids, sigma2, 1,
1, 1, nobs, backcast, self.var_bounds)
assert np.all(sigma2 >= self.var_bounds[:, 0])
assert np.all(sigma2 <= 2 * self.var_bounds[:, 1])
parameters = np.array([.1, .4, .3, .2])
mod_fresids = fresids.copy()
mod_fresids[:1] = np.inf
recpy.garch_recursion_python(parameters, mod_fresids, sresids, sigma2,
1, 1, 1, nobs, backcast, self.var_bounds)
assert np.all(sigma2 >= self.var_bounds[:, 0])
assert np.all(sigma2 <= 2 * self.var_bounds[:, 1])
rec.garch_recursion(parameters, mod_fresids, sresids, sigma2, 1, 1, 1,
nobs, backcast, self.var_bounds)
assert np.all(sigma2 >= self.var_bounds[:, 0])
assert np.all(sigma2 <= 2 * self.var_bounds[:, 1])
def test_garch(self):
nobs, resids, = self.nobs, self.resids
sigma2, backcast = self.sigma2, self.backcast
parameters = np.array([.1, .4, .3, .2])
fresids = resids ** 2.0
sresids = np.sign(resids)
recpy.garch_recursion(parameters, fresids, sresids, sigma2,
1, 1, 1, nobs, backcast, self.var_bounds)
sigma2_numba = sigma2.copy()
recpy.garch_recursion_python(parameters, fresids, sresids, sigma2, 1,
1, 1, nobs, backcast, self.var_bounds)
sigma2_python = sigma2.copy()
rec.garch_recursion(parameters, fresids, sresids, sigma2, 1, 1,
1, nobs, backcast, self.var_bounds)
assert_almost_equal(sigma2_numba, sigma2)
assert_almost_equal(sigma2_python, sigma2)
parameters = np.array([.1, -.4, .3, .2])
recpy.garch_recursion_python(parameters, fresids, sresids, sigma2, 1,
1, 1, nobs, backcast, self.var_bounds)
assert np.all(sigma2 >= self.var_bounds[:, 0])
assert np.all(sigma2 <= 2 * self.var_bounds[:, 1])
parameters = np.array([.1, .4, 3, 2])
recpy.garch_recursion_python(parameters, fresids, sresids, sigma2, 1,
1, 1, nobs, backcast, self.var_bounds)
assert np.all(sigma2 >= self.var_bounds[:, 0])
assert np.all(sigma2 <= 2 * self.var_bounds[:, 1])
parameters = np.array([.1, .4, .3, .2])
mod_fresids = fresids.copy()
mod_fresids[:1] = np.inf
recpy.garch_recursion_python(parameters, mod_fresids, sresids, sigma2, 1,
1, 1, nobs, backcast, self.var_bounds)
assert np.all(sigma2 >= self.var_bounds[:, 0])
assert np.all(sigma2 <= 2 * self.var_bounds[:, 1])
rec.garch_recursion(parameters, mod_fresids, sresids, sigma2, 1,
1, 1, nobs, backcast, self.var_bounds)
assert np.all(sigma2 >= self.var_bounds[:, 0])
assert np.all(sigma2 <= 2 * self.var_bounds[:, 1])
def test_garch_performance(self):
garch_setup = """
parameters = np.array([.1, .4, .3, .2])
fresids = resids ** 2.0
sresids = np.sign(resids)
"""
garch_first = """
recpy.garch_recursion(parameters, fresids, sresids, sigma2, 1, 1, 1, T, backcast, var_bounds)
"""
garch_second = """
rec.garch_recursion(parameters, fresids, sresids, sigma2, 1, 1, 1, T, backcast, var_bounds)
"""
timer = Timer(garch_first, 'Numba', garch_second, 'Cython', 'GARCH',
self.timer_setup + garch_setup)
timer.display()
assert timer.ratio < 10.0
def test_garch_performance(self):
garch_setup = """
parameters = np.array([.1, .4, .3, .2])
fresids = resids ** 2.0
sresids = np.sign(resids)
"""
garch_first = """
recpy.garch_recursion(parameters, fresids, sresids, sigma2, 1, 1, 1, T, backcast, var_bounds)
"""
garch_second = """
rec.garch_recursion(parameters, fresids, sresids, sigma2, 1, 1, 1, T, backcast, var_bounds)
"""
timer = Timer(garch_first, 'Numba', garch_second, 'Cython', 'GARCH',
self.timer_setup + garch_setup)
timer.display()
assert_true(timer.ratio < 10.0)
def test_garch_performance(self):
garch_setup = """
parameters = np.array([.1, .4, .3, .2])
fresids = resids ** 2.0
sresids = np.sign(resids)
"""
garch_first = """
recpy.garch_recursion(parameters, fresids, sresids, sigma2, 1, 1, 1, nobs,
backcast, var_bounds)
"""
garch_second = """
rec.garch_recursion(parameters, fresids, sresids, sigma2, 1, 1, 1, nobs, backcast,
var_bounds)
"""
timer = Timer(garch_first, 'Numba', garch_second, 'Cython', 'GARCH',
self.timer_setup + garch_setup)
timer.display()
assert timer.ratio < 10.0
if not (missing_numba or CYTHON_COVERAGE):
assert 0.1 < timer.ratio
def test_bounds(self):
nobs, resids, = self.nobs, self.resids
sigma2, backcast = self.sigma2, self.backcast
parameters = np.array([1e100, .4, .3, .2])
lags = np.array([1, 5, 22], dtype=np.int32)
recpy.harch_recursion(parameters, resids, sigma2, lags, nobs, backcast,
self.var_bounds)
sigma2_python = sigma2.copy()
rec.harch_recursion(parameters, resids, sigma2, lags, nobs, backcast,
self.var_bounds)
assert_almost_equal(sigma2_python, sigma2)
assert np.all(sigma2 >= self.var_bounds[:, 0])
assert np.all(sigma2 <= 2 * self.var_bounds[:, 1])
parameters = np.array([-1e100, .4, .3, .2])
recpy.harch_recursion(parameters, resids, sigma2, lags, nobs, backcast,
self.var_bounds)
sigma2_python = sigma2.copy()
rec.harch_recursion(parameters, resids, sigma2, lags, nobs, backcast,
self.var_bounds)
assert_almost_equal(sigma2_python, sigma2)
assert_almost_equal(sigma2, self.var_bounds[:, 0])
parameters = np.array([1e100, .4, .3, .2])
fresids = resids**2.0
sresids = np.sign(resids)
recpy.garch_recursion(parameters, fresids, sresids, sigma2, 1, 1, 1,
nobs, backcast, self.var_bounds)
sigma2_python = sigma2.copy()
rec.garch_recursion(parameters, fresids, sresids, sigma2, 1, 1, 1,
nobs, backcast, self.var_bounds)
assert_almost_equal(sigma2_python, sigma2)
assert np.all(sigma2 >= self.var_bounds[:, 0])
assert np.all(sigma2 <= 2 * self.var_bounds[:, 1])
parameters = np.array([-1e100, .4, .3, .2])
recpy.garch_recursion(parameters, fresids, sresids, sigma2, 1, 1, 1,
nobs, backcast, self.var_bounds)
sigma2_python = sigma2.copy()
rec.garch_recursion(parameters, fresids, sresids, sigma2, 1, 1, 1,
nobs, backcast, self.var_bounds)
assert_almost_equal(sigma2_python, sigma2)
assert_almost_equal(sigma2, self.var_bounds[:, 0])
parameters = np.array([1e100, .4, .3, .2])
recpy.arch_recursion(parameters, resids, sigma2, 3, nobs, backcast,
self.var_bounds)
sigma2_python = sigma2.copy()
rec.arch_recursion(parameters, resids, sigma2, 3, nobs, backcast,
self.var_bounds)
assert_almost_equal(sigma2_python, sigma2)
assert np.all(sigma2 >= self.var_bounds[:, 0])
assert np.all(sigma2 <= 2 * self.var_bounds[:, 1])
parameters = np.array([-1e100, .4, .3, .2])
recpy.arch_recursion(parameters, resids, sigma2, 3, nobs, backcast,
self.var_bounds)
sigma2_python = sigma2.copy()
rec.arch_recursion(parameters, resids, sigma2, 3, nobs, backcast,
self.var_bounds)
assert_almost_equal(sigma2_python, sigma2)
assert_almost_equal(sigma2, self.var_bounds[:, 0])
def test_bounds(self):
T, resids, = self.T, self.resids
sigma2, backcast = self.sigma2, self.backcast
parameters = np.array([1e100, .4, .3, .2])
lags = np.array([1, 5, 22], dtype=np.int32)
recpy.harch_recursion(parameters, resids, sigma2, lags, T, backcast,
self.var_bounds)
sigma2_python = sigma2.copy()
rec.harch_recursion(parameters, resids, sigma2, lags, T, backcast,
self.var_bounds)
assert_almost_equal(sigma2_python, sigma2)
assert_true((sigma2 >= self.var_bounds[:, 1]).all())
parameters = np.array([-1e100, .4, .3, .2])
recpy.harch_recursion(parameters, resids, sigma2, lags, T, backcast,
self.var_bounds)
sigma2_python = sigma2.copy()
rec.harch_recursion(parameters, resids, sigma2, lags, T, backcast,
self.var_bounds)
assert_almost_equal(sigma2_python, sigma2)
assert_almost_equal(sigma2, self.var_bounds[:, 0])
parameters = np.array([1e100, .4, .3, .2])
fresids = resids ** 2.0
sresids = np.sign(resids)
recpy.garch_recursion(parameters, fresids, sresids, sigma2,
1, 1, 1, T, backcast, self.var_bounds)
sigma2_python = sigma2.copy()
rec.garch_recursion(parameters, fresids, sresids, sigma2, 1, 1,
1, T, backcast, self.var_bounds)
assert_almost_equal(sigma2_python, sigma2)
assert_true((sigma2 >= self.var_bounds[:, 1]).all())
parameters = np.array([-1e100, .4, .3, .2])
recpy.garch_recursion(parameters, fresids, sresids, sigma2,
1, 1, 1, T, backcast, self.var_bounds)
sigma2_python = sigma2.copy()
rec.garch_recursion(parameters, fresids, sresids, sigma2, 1, 1,
1, T, backcast, self.var_bounds)
assert_almost_equal(sigma2_python, sigma2)
assert_almost_equal(sigma2, self.var_bounds[:, 0])
parameters = np.array([1e100, .4, .3, .2])
recpy.arch_recursion(parameters, resids, sigma2, 3, T, backcast,
self.var_bounds)
sigma2_python = sigma2.copy()
rec.arch_recursion(parameters, resids, sigma2, 3, T, backcast,
self.var_bounds)
assert_almost_equal(sigma2_python, sigma2)
assert_true((sigma2 >= self.var_bounds[:, 1]).all())
parameters = np.array([-1e100, .4, .3, .2])
recpy.arch_recursion(parameters, resids, sigma2, 3, T, backcast,
self.var_bounds)
sigma2_python = sigma2.copy()
rec.arch_recursion(parameters, resids, sigma2, 3, T, backcast,
self.var_bounds)
assert_almost_equal(sigma2_python, sigma2)
assert_almost_equal(sigma2, self.var_bounds[:, 0])