def test_garch(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, 1, 1, T,
backcast, self.var_bounds)
sigma2_numba = sigma2.copy()
recpy.garch_recursion_python(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_numba, sigma2)
assert_almost_equal(sigma2_python, sigma2)
def test_garch(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, 1, 1, T, backcast, self.var_bounds)
sigma2_numba = sigma2.copy()
recpy.garch_recursion_python(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_numba, sigma2)
assert_almost_equal(sigma2_python, sigma2)
def test_garch(self):
nobs, resids, = self.nobs, 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, 1, 1,
nobs, backcast, self.var_bounds)
sigma2_numba = sigma2.copy()
recpy.garch_recursion_python(parameters, fresids, sresids, sigma2, 1,
1, 1, nobs, backcast, self.var_bounds)
sigma2_python = sigma2.copy()
rec.garch_recursion(parameters, fresids, sresids, sigma2, 1, 1, 1,
nobs, backcast, self.var_bounds)
assert_almost_equal(sigma2_numba, sigma2)
assert_almost_equal(sigma2_python, sigma2)
parameters = np.array([.1, -.4, .3, .2])
recpy.garch_recursion_python(parameters, fresids, sresids, sigma2, 1,
1, 1, nobs, backcast, self.var_bounds)
assert np.all(sigma2 >= self.var_bounds[:, 0])
assert np.all(sigma2 <= 2 * self.var_bounds[:, 1])
parameters = np.array([.1, .4, 3, 2])
recpy.garch_recursion_python(parameters, fresids, sresids, sigma2, 1,
1, 1, nobs, backcast, self.var_bounds)
assert np.all(sigma2 >= self.var_bounds[:, 0])
assert np.all(sigma2 <= 2 * self.var_bounds[:, 1])
parameters = np.array([.1, .4, .3, .2])
mod_fresids = fresids.copy()
mod_fresids[:1] = np.inf
recpy.garch_recursion_python(parameters, mod_fresids, sresids, sigma2,
1, 1, 1, nobs, backcast, self.var_bounds)
assert np.all(sigma2 >= self.var_bounds[:, 0])
assert np.all(sigma2 <= 2 * self.var_bounds[:, 1])
rec.garch_recursion(parameters, mod_fresids, sresids, sigma2, 1, 1, 1,
nobs, backcast, self.var_bounds)
assert np.all(sigma2 >= self.var_bounds[:, 0])
assert np.all(sigma2 <= 2 * self.var_bounds[:, 1])
def test_garch(self):
nobs, resids, = self.nobs, 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, 1, 1, nobs, backcast, self.var_bounds)
sigma2_numba = sigma2.copy()
recpy.garch_recursion_python(parameters, fresids, sresids, sigma2, 1,
1, 1, nobs, backcast, self.var_bounds)
sigma2_python = sigma2.copy()
rec.garch_recursion(parameters, fresids, sresids, sigma2, 1, 1,
1, nobs, backcast, self.var_bounds)
assert_almost_equal(sigma2_numba, sigma2)
assert_almost_equal(sigma2_python, sigma2)
parameters = np.array([.1, -.4, .3, .2])
recpy.garch_recursion_python(parameters, fresids, sresids, sigma2, 1,
1, 1, nobs, backcast, self.var_bounds)
assert np.all(sigma2 >= self.var_bounds[:, 0])
assert np.all(sigma2 <= 2 * self.var_bounds[:, 1])
parameters = np.array([.1, .4, 3, 2])
recpy.garch_recursion_python(parameters, fresids, sresids, sigma2, 1,
1, 1, nobs, backcast, self.var_bounds)
assert np.all(sigma2 >= self.var_bounds[:, 0])
assert np.all(sigma2 <= 2 * self.var_bounds[:, 1])
parameters = np.array([.1, .4, .3, .2])
mod_fresids = fresids.copy()
mod_fresids[:1] = np.inf
recpy.garch_recursion_python(parameters, mod_fresids, sresids, sigma2, 1,
1, 1, nobs, backcast, self.var_bounds)
assert np.all(sigma2 >= self.var_bounds[:, 0])
assert np.all(sigma2 <= 2 * self.var_bounds[:, 1])
rec.garch_recursion(parameters, mod_fresids, sresids, sigma2, 1,
1, 1, nobs, backcast, self.var_bounds)
assert np.all(sigma2 >= self.var_bounds[:, 0])
assert np.all(sigma2 <= 2 * self.var_bounds[:, 1])
def test_garch_aparch_equiv(self):
parameters = np.array([0.1, 0.1, 0.8])
fresids = self.resids**2
sresids = np.sign(self.resids)
sigma2 = np.empty(1000)
p = q = 1
o = 0
recpy.garch_recursion_python(
parameters,
fresids,
sresids,
sigma2,
p,
o,
q,
self.nobs,
self.backcast,
self.var_bounds,
)
sigma2_garch = sigma2.copy()
parameters = np.array([0.1, 0.1, 0.8, 2])
sigma2[:] = np.nan
sigma2_delta = np.empty_like(sigma2)
recpy.aparch_recursion_python(
parameters,
self.resids,
np.abs(self.resids),
sigma2,
sigma2_delta,
p,
o,
q,
self.nobs,
self.backcast,
self.var_bounds,
)
assert_allclose(sigma2_garch, sigma2, atol=1e-6)
sigma2[:] = np.nan
recpy.aparch_recursion(
parameters,
self.resids,
np.abs(self.resids),
sigma2,
sigma2_delta,
p,
o,
q,
self.nobs,
self.backcast,
self.var_bounds,
)
assert_allclose(sigma2_garch, sigma2, atol=1e-6)
sigma2[:] = np.nan
rec.aparch_recursion(
parameters,
self.resids,
np.abs(self.resids),
sigma2,
sigma2_delta,
p,
o,
q,
self.nobs,
self.backcast,
self.var_bounds,
)
assert_allclose(sigma2_garch, sigma2, atol=1e-6)
