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_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])
