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생산성 및 협업 · SKILL.md

volatility-models

volatility-models

Fit and troubleshoot PyFlux GARCH, EGARCH, EGARCH-in-mean, long-memory, and skew-t volatility models for heteroskedastic time series.

Independent GitHub snapshot · Automated classification · Original documentation governs

Skill 문서

GitHub

name: volatility-models description: "Fit and troubleshoot PyFlux GARCH, EGARCH, EGARCH-in-mean, long-memory, and skew-t volatility models for heteroskedastic time series." disable-model-invocation: true metadata: disco-role: operating license: BSD 3-Clause

Volatility Models

Use this sub-skill for conditional volatility work on return series: data prep, model choice, leverage, in-mean effects, forecasting, intervals, and post-fit checks.

Route here

  • Fit GARCH, EGARCH, EGARCHM, LMEGARCH, SEGARCH, SEGARCHM, or EGARCHMReg.
  • Model volatility clustering, leverage, fat tails, skewness, or long memory in a univariate series.
  • Use add_leverage() before fitting when the asymmetric news term is needed.
  • Use fit, predict, predict_is, plot_fit, plot_predict, plot_predict_is, plot_sample, plot_ppc, plot_z, sample, and ppc on these volatility models.
  • Validate with the bundled synthetic smoke section instead of the original Yahoo/FRED examples.

Reroute

  • ARIMA, ARIMAX, or NNAR mean-model work: ../univariate-models/SKILL.md
  • GAS / score-driven volatility work: ../gas-models/SKILL.md
  • VAR or GPNARX work: ../multivariate-models/SKILL.md

Start fast

  1. Convert prices to returns or log returns; if you do not have market data, use a local synthetic return series.
  2. Pick the family:
    • GARCH for plain conditional variance
    • EGARCH for t-based volatility
    • EGARCHM for EGARCH-in-mean
    • LMEGARCH for long-memory volatility
    • SEGARCH / SEGARCHM for skew-t volatility
    • EGARCHMReg for regression-in-mean with exogenous regressors
  3. Call add_leverage() before fit() when you need leverage terms.
  4. After fitting, check summary(), plot_fit(), plot_z(), and then predict() / predict_is(); use sample() and ppc() only after BBVI or M-H.
  5. Run the bundled smoke helper with --section volatility: smoke helper.

References

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