def test_no_param_volatility(self):
cm = ConstantMean(self.y)
cm.volatility = EWMAVariance()
cm.fit(update_freq=0)
cm.volatility = RiskMetrics2006()
cm.fit(update_freq=0)
ar = ARX(self.y, lags=5)
ar.volatility = EWMAVariance()
ar.fit(update_freq=0)
ar.volatility = RiskMetrics2006()
ar.fit(update_freq=0)
def test_no_param_volatility(self):
cm = ConstantMean(self.y)
cm.volatility = EWMAVariance()
cm.fit(update_freq=0)
cm.volatility = RiskMetrics2006()
cm.fit(update_freq=0)
ar = ARX(self.y, lags=5)
ar.volatility = EWMAVariance()
ar.fit(update_freq=0)
ar.volatility = RiskMetrics2006()
ar.fit(update_freq=0)
def test_no_param_volatility(self):
cm = ConstantMean(self.y)
cm.volatility = EWMAVariance()
cm.fit(update_freq=0, disp=DISPLAY)
cm.volatility = RiskMetrics2006()
cm.fit(update_freq=0, disp=DISPLAY)
ar = ARX(self.y, lags=5)
ar.volatility = EWMAVariance()
ar.fit(update_freq=0, disp=DISPLAY)
ar.volatility = RiskMetrics2006()
ar.fit(update_freq=0, disp=DISPLAY)
assert 'tau0' in str(ar.volatility)
assert 'tau1' in str(ar.volatility)
assert 'kmax' in str(ar.volatility)
def test_no_param_volatility(self):
cm = ConstantMean(self.y)
cm.volatility = EWMAVariance()
cm.fit(update_freq=0, disp=DISPLAY)
cm.volatility = RiskMetrics2006()
cm.fit(update_freq=0, disp=DISPLAY)
ar = ARX(self.y, lags=5)
ar.volatility = EWMAVariance()
ar.fit(update_freq=0, disp=DISPLAY)
ar.volatility = RiskMetrics2006()
ar.fit(update_freq=0, disp=DISPLAY)
assert 'tau0' in str(ar.volatility)
assert 'tau1' in str(ar.volatility)
assert 'kmax' in str(ar.volatility)
def test_egarch(self):
cm = ConstantMean(self.y)
cm.volatility = EGARCH()
res = cm.fit(update_freq=0, disp=DISPLAY)
summ = res.summary()
assert "Df Model: 1" in str(summ)
cm.distribution = StudentsT()
cm.fit(update_freq=0, disp=DISPLAY)
def test_multiple_lags(self):
"""Smoke test to ensure models estimate with multiple lags"""
vp = {"garch": GARCH, "egarch": EGARCH, "harch": HARCH, "arch": ARCH}
cm = ConstantMean(self.y)
for name, process in vp.items():
cm.volatility = process()
cm.fit(update_freq=0, disp=DISPLAY)
for p in [1, 2, 3]:
for o in [1, 2, 3]:
for q in [1, 2, 3]:
if name in ("arch",):
cm.volatility = process(p=p + o + q)
cm.fit(update_freq=0, disp=DISPLAY)
elif name in ("harch",):
cm.volatility = process(lags=[p, p + o, p + o + q])
cm.fit(update_freq=0, disp=DISPLAY)
else:
cm.volatility = process(p=p, o=o, q=q)
cm.fit(update_freq=0, disp=DISPLAY)
def test_multiple_lags(self):
"""Smoke test to ensure models estimate with multiple lags"""
vp = {'garch': GARCH, 'egarch': EGARCH, 'harch': HARCH, 'arch': ARCH}
cm = ConstantMean(self.y)
for name, process in iteritems(vp):
cm.volatility = process()
cm.fit(update_freq=0, disp='off')
for p in [1, 2, 3]:
for o in [1, 2, 3]:
for q in [1, 2, 3]:
if name in ('arch', ):
cm.volatility = process(p=p + o + q)
cm.fit(update_freq=0, disp='off')
elif name in ('harch', ):
cm.volatility = process(lags=[p, p + o, p + o + q])
cm.fit(update_freq=0, disp='off')
else:
cm.volatility = process(p=p, o=o, q=q)
cm.fit(update_freq=0, disp='off')
def test_multiple_lags(self):
"""Smoke test to ensure models estimate with multiple lags"""
vp = {'garch': GARCH,
'egarch': EGARCH,
'harch': HARCH,
'arch': ARCH}
cm = ConstantMean(self.y)
for name, process in iteritems(vp):
cm.volatility = process()
cm.fit(update_freq=0, disp='off')
for p in [1, 2, 3]:
for o in [1, 2, 3]:
for q in [1, 2, 3]:
if name in ('arch',):
cm.volatility = process(p=p + o + q)
cm.fit(update_freq=0, disp='off')
elif name in ('harch',):
cm.volatility = process(lags=[p, p + o, p + o + q])
cm.fit(update_freq=0, disp='off')
else:
cm.volatility = process(p=p, o=o, q=q)
cm.fit(update_freq=0, disp='off')
def test_egarch(self):
cm = ConstantMean(self.y)
cm.volatility = EGARCH()
cm.fit(update_freq=0, disp=DISPLAY)
cm.distribution = StudentsT()
cm.fit(update_freq=0, disp=DISPLAY)
def test_egarch(self):
cm = ConstantMean(self.y)
cm.volatility = EGARCH()
cm.fit(update_freq=0, disp=DISPLAY)
cm.distribution = StudentsT()
cm.fit(update_freq=0, disp=DISPLAY)