def test_egarch(self):
nobs = self.T
parameters = np.array([0.0, 0.1, -0.1, 0.95])
resids, sigma2 = self.resids, self.sigma2
p = o = q = 1
backcast = 0.0
var_bounds = self.var_bounds
lnsigma2 = np.empty_like(sigma2)
std_resids = np.empty_like(sigma2)
abs_std_resids = np.empty_like(sigma2)
recpy.egarch_recursion(parameters, resids, sigma2, p, o, q, nobs,
backcast, var_bounds, lnsigma2, std_resids,
abs_std_resids)
sigma2_numba = sigma2.copy()
recpy.egarch_recursion_python(parameters, resids, sigma2, p, o, q, nobs,
backcast, var_bounds, lnsigma2,
std_resids,
abs_std_resids)
sigma2_python = sigma2.copy()
rec.egarch_recursion(parameters, resids, sigma2, p, o, q, nobs,
backcast, var_bounds, lnsigma2, std_resids,
abs_std_resids)
assert_almost_equal(sigma2_numba, sigma2)
assert_almost_equal(sigma2_python, sigma2)
norm_const = np.sqrt(2 / np.pi)
for t in range(nobs):
lnsigma2[t] = parameters[0]
if t == 0:
lnsigma2[t] += parameters[3] * backcast
else:
stdresid = resids[t - 1] / np.sqrt(sigma2[t - 1])
lnsigma2[t] += parameters[1] * (np.abs(stdresid) - norm_const)
lnsigma2[t] += parameters[2] * stdresid
lnsigma2[t] += parameters[3] * lnsigma2[t - 1]
sigma2[t] = np.exp(lnsigma2[t])
assert_almost_equal(sigma2_python, sigma2)
def test_egarch_performance(self):
egarch_setup = """
nobs = T
parameters = np.array([0.0, 0.1, -0.1, 0.95])
p = o = q = 1
backcast = 0.0
lnsigma2 = np.empty_like(sigma2)
std_resids = np.empty_like(sigma2)
abs_std_resids = np.empty_like(sigma2)
"""
egarch_first = """
rec.egarch_recursion(parameters, resids, sigma2, p, o, q, nobs, backcast, var_bounds, lnsigma2, std_resids, abs_std_resids)
"""
egarch_second = """
recpy.egarch_recursion(parameters, resids, sigma2, p, o, q, nobs, backcast, var_bounds, lnsigma2, std_resids, abs_std_resids)
"""
timer = Timer(egarch_first, 'Numba', egarch_second, 'Cython', 'EGARCH',
self.timer_setup + egarch_setup)
timer.display()
def test_egarch_performance(self):
egarch_setup = """
nobs = T
parameters = np.array([0.0, 0.1, -0.1, 0.95])
p = o = q = 1
backcast = 0.0
lnsigma2 = np.empty_like(sigma2)
std_resids = np.empty_like(sigma2)
abs_std_resids = np.empty_like(sigma2)
"""
egarch_first = """
rec.egarch_recursion(parameters, resids, sigma2, p, o, q, nobs, backcast, var_bounds, lnsigma2, std_resids, abs_std_resids)
"""
egarch_second = """
recpy.egarch_recursion(parameters, resids, sigma2, p, o, q, nobs, backcast, var_bounds, lnsigma2, std_resids, abs_std_resids)
"""
timer = Timer(egarch_first, 'Numba', egarch_second, 'Cython', 'EGARCH',
self.timer_setup + egarch_setup)
timer.display()
