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_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_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_garch_direct(self):
T, resids, = self.T, self.resids
sigma2, backcast = self.sigma2, self.backcast
parameters = np.array([.1, .4, .3, .2])
fresids = np.abs(resids)**2.0
sresids = np.sign(resids)
for t in range(T):
if t == 0:
sigma2[t] = parameters.dot(
np.array([1.0, backcast, 0.5 * backcast, backcast]))
else:
vars = np.array([
1.0, resids[t - 1]**2.0,
resids[t - 1]**2.0 * (resids[t - 1] < 0), sigma2[t - 1]
])
sigma2[t] = parameters.dot(vars)
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)
def test_garch_direct(self):
T, resids, = self.T, self.resids
sigma2, backcast = self.sigma2, self.backcast
parameters = np.array([.1, .4, .3, .2])
fresids = np.abs(resids) ** 2.0
sresids = np.sign(resids)
for t in range(T):
if t == 0:
sigma2[t] = parameters.dot(
np.array([1.0, backcast, 0.5 * backcast, backcast]))
else:
vars = np.array([1.0,
resids[t - 1] ** 2.0,
resids[t - 1] ** 2.0 * (resids[t - 1] < 0),
sigma2[t - 1]])
sigma2[t] = parameters.dot(vars)
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)
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_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])