Welcome to MUArch’s documentation!

This is a wrapper on top of Kevin Sheppard’s ARCH package. The purpose of which are to:

1. Enable faster Monte Carlo simulation

2. Simulate innovations through copula marginals

In the package, there are 2 classes to aid you - UArch and MUArch. The UArch class can be defined using a similar API to arch_model() in the original arch package. The MUArch is a collection of these UArch models.

Thus, if you have a function that generates uniform marginals, like a copula, you can create a dependence structure among the different marginals when simulating the GARCH processes.

If you need a copula package, I have one here. :)

Contents

Contents:

• Getting Started
  • Python version support
  • Installing MUArch
• Examples
  • Copula Garch Process
• API
  • UArch
  • MUArch
  • Utility Functions

Indices and tables

• Index

• Module Index

• Search Page