I am trying estimate the parameters for the following ARMA(1, 2) - GARCH(1, 1) model, with an exogenous variable as well. The model specification is as follows:
$ x_t = \mu + \beta_Y \cdot y_{t-1} + AR_1\cdot x_{t-1} + MA_1\cdot \epsilon_{t-1} + MA_2 \cdot \epsilon_{t-2} + \epsilon_t$
$\epsilon_t = \sigma_t\cdot z_t $
$ \sigma_t = \sqrt{\omega + \alpha \cdot \epsilon_{t-1}^2 + \beta\cdot \sigma_{t-1}^2}$
$ z_t \sim Normal(0, 1)$ for all $t$. These errors are iid.
The model parameters are: $\mu, \beta_Y, AR_1, MA_1, MA_2, \omega, \alpha, \beta$.
I am currently estimating the optimal parameters by maximizing log likelihood in pytorch. Questions:
Is there a python package able to estimate these parameters? It would be very useful as a double check
Is there a python package able to produce standard errors and p values for the estimated parameters?
If there's no such package for answer 2, any hints on how to produce these p values?
Thanks a lot!