Python garch_recursion示例

示例#1

文件： test_recursions.py 项目： VolosSoftware/arch

    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)

示例#2

文件： test_recursions.py 项目： sdlirjc/arch

    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)

示例#3

文件： test_recursions.py 项目： sdlirjc/arch

    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)

示例#4

文件： test_recursions.py 项目： VolosSoftware/arch

    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)

示例#5

文件： test_recursions.py 项目： sdlirjc/arch

    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)

示例#6

文件： test_recursions.py 项目： VolosSoftware/arch

    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)

示例#7

文件： test_recursions.py 项目： sdlirjc/arch

    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

示例#8

文件： test_recursions.py 项目： VolosSoftware/arch

    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)

示例#9

文件： test_recursions.py 项目： sdlirjc/arch

    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])

示例#10

文件： test_recursions.py 项目： VolosSoftware/arch

    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])