def test_garch_arch(self): backcast = self.backcast T, resids, sigma2 = self.T, self.resids, self.sigma2 parameters = np.array([.1, .4, .3, .2]) fresids = resids**2.0 sresids = np.sign(resids) rec.garch_recursion(parameters, fresids, sresids, sigma2, 3, 0, 0, T, backcast, self.var_bounds) sigma2_garch = sigma2.copy() rec.arch_recursion(parameters, resids, sigma2, 3, T, backcast, self.var_bounds) assert_almost_equal(sigma2_garch, sigma2)
def test_garch_arch(self): backcast = self.backcast T, resids, sigma2 = self.T, self.resids, self.sigma2 parameters = np.array([.1, .4, .3, .2]) fresids = resids ** 2.0 sresids = np.sign(resids) rec.garch_recursion(parameters, fresids, sresids, sigma2, 3, 0, 0, T, backcast, self.var_bounds) sigma2_garch = sigma2.copy() rec.arch_recursion(parameters, resids, sigma2, 3, T, backcast, self.var_bounds) assert_almost_equal(sigma2_garch, sigma2)
def test_arch(self): T, resids, = self.T, self.resids sigma2, backcast = self.sigma2, self.backcast parameters = np.array([.1, .4, .3, .2]) p = 3 recpy.arch_recursion_python(parameters, resids, sigma2, p, T, backcast, self.var_bounds) sigma2_python = sigma2.copy() recpy.arch_recursion(parameters, resids, sigma2, p, T, backcast, self.var_bounds) sigma2_numba = sigma2.copy() rec.arch_recursion(parameters, resids, sigma2, p, T, backcast, self.var_bounds) assert_almost_equal(sigma2_numba, sigma2) assert_almost_equal(sigma2_python, sigma2)
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 (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 (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 (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])
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])