Metadata-Version: 2.1
Name: mgarch_setup_fix
Version: 0.2.0
Summary: DCC-GARCH(1,1)
Home-page: https://github.com/srivastavaprashant/mgarch
Author: Prashant Srivastava
Author-email: srivastava.prashant898@gmail.com
License: MIT
Download-URL: https://github.com/srivastavaprashant/mgarch/archive/0.2.0.tar.gz
Description: # mgarch
        
        mgarch is a python package for predicting volatility of daily returns in financial markets. 
        
        DCC-GARCH(1,1) for multivariate normal and student t distribution.
        
        
        ## Use case:
        For Multivariate Normal Distribution
        ```python
        # shape(rt) = (t, n) numpy matrix with t days of observation and n number of assets
        import mgarch
        vol = mgarch.mgarch()
        vol.fit(rt)
        ndays = 10 # volatility of nth day
        cov_nextday = vol.predict(ndays)
        ```
        
        For Multivariate Student-t Distribution
        ```python
        # shape(rt) = (t, n) numpy matrix with t days of observation and n number of assets
        import mgarch
        dist = 't'
        vol = mgarch.mgarch(dist)
        vol.fit(rt)
        ndays = 10 # volatility of nth day
        cov_nextday = vol.predict(ndays)
        ```
        
        
        
        ## Contributing
        Pull requests are welcome. For major changes, please open an issue first to discuss what you would like to change.
        
        Please make sure to update tests as appropriate.
        
        ## License
        Academic Free License v3.0
        
Keywords: volatility,multivariate,garch
Platform: UNKNOWN
Classifier: Development Status :: 3 - Alpha
Classifier: Intended Audience :: Developers
Classifier: Topic :: Software Development :: Build Tools
Classifier: License :: OSI Approved :: MIT License
Classifier: Programming Language :: Python :: 3
Classifier: Programming Language :: Python :: 3.4
Classifier: Programming Language :: Python :: 3.5
Classifier: Programming Language :: Python :: 3.6
Description-Content-Type: text/markdown
