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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:

  1. Is there a python package able to estimate these parameters? It would be very useful as a double check

  2. Is there a python package able to produce standard errors and p values for the estimated parameters?

  3. If there's no such package for answer 2, any hints on how to produce these p values?

Thanks a lot!

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  • $\begingroup$ Only the third question is on topic here, but since it is the most substantial, I think you could keep the first two as well. $\endgroup$ Commented Aug 3 at 8:37
  • $\begingroup$ Thanks a lot, Richard! Would you suggest a place to ask questions 1 and 2? Thank you! $\endgroup$
    – user35083
    Commented Aug 3 at 19:53
  • $\begingroup$ I am not sure. I struggle to find a good place for this type of questions myself. $\endgroup$ Commented Aug 4 at 9:47

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