0.3.0

:bug: Fix setup

0.2.0

Update README.md

0.1.5

Update setup.py

DCC-GARCH(1,1)

Multivariate GARCH

DCC-GARCH(1,1) volatility method for financial log returns. The distribution under the Normal Dist assumption.

Use case:

from mgarch import mgarch
rt = (t, n) numpy matrix with t days of observation and n number of assets.
vol = mgarch()
vol.fit(rt)
cov_nextday = vol.predict()

DCC-GARCH(1,1)

Multivariate GARCH

DCC-GARCH(1,1) volatility method for financial log returns. The distribution under the Normal Dist assumption.

Use case:

from mgarch import mgarch
rt = (t, n) numpy matrix with t days of observation and n number of assets.
vol = mgarch()
vol.fit(rt)
cov_nextday = vol.predict()