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<li class="nav-item" data-level="1"><a href="#arma1-1-garch1-1" class="nav-link">ARMA(1, 1)-GARCH(1, 1)</a>
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</div></div>
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<h1 id="arma1-1-garch1-1">ARMA(1, 1)-GARCH(1, 1)</h1>
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<p><em>ARMA(1, 1)-GARCH(1, 1) model</em></p>
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<p><span style="float:right;"><a href="https://github.com/Techtonique/ahead/ahead/ARMAGARCH/ArmaGarch.py#L46">[source]</a></span></p>
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<h3 id="armagarch">ArmaGarch</h3>
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<pre><code class="language-python">ahead.ARMAGARCH.ArmaGarch.ArmaGarch(
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h=5, level=95, B=250, cl=1, dist=&quot;student&quot;, seed=123, date_formatting=&quot;original&quot;
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)
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</code></pre>
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<p>ARMA(1, 1)-GARCH(1, 1) forecasting (with simulation)</p>
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<p>Parameters:</p>
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<pre><code>h: an integer;
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forecasting horizon
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level: an integer;
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Confidence level for prediction intervals
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B: an integer;
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number of simulations for R's `stats::arima.sim`
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cl: an integer;
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the number of clusters for parallel execution (done in R /!\)
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dist: a string;
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distribution of innovations ("student" or "gaussian")
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seed: an integer;
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reproducibility seed
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date_formatting: a string;
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Currently:
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- "original": yyyy-mm-dd
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- "ms": milliseconds
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</code></pre>
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<p>Attributes:</p>
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<pre><code>fcast_: an object;
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raw result from fitting R's `ahead::armagarchf` through `rpy2`
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averages_: a list;
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mean forecast in a list
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ranges_: a list;
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lower and upper prediction intervals in a list
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output_dates_: a list;
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a list of output dates (associated to forecast)
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mean_: a numpy array
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contains series mean forecast as a numpy array
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lower_: a numpy array
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contains series lower bound forecast as a numpy array
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upper_: a numpy array
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contains series upper bound forecast as a numpy array
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result_df_: a data frame;
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contains 3 columns, mean forecast, lower + upper
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prediction intervals, and a date index
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sims_: a numpy array
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forecasting simulations
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</code></pre>
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<hr />
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<p><span style="float:right;"><a href="https://github.com/Techtonique/ahead/ahead/ARMAGARCH/ArmaGarch.py#L135">[source]</a></span></p>
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<h3 id="forecast">forecast</h3>
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<pre><code class="language-python">ArmaGarch.forecast(df)
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</code></pre>
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<p>Forecasting method from <code>ArmaGarch</code> class</p>
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<p>Parameters:</p>
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<pre><code>df: a data frame;
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a data frame containing the input time series (see example)
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</code></pre>
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‎docs/site/documentation/dynamicregressor/index.html‎

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‎docs/site/documentation/eat/index.html‎

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‎docs/site/documentation/ridge2regressor/index.html‎

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lambda_2: a float;
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dropout regularization parameter (dropping nodes in hidden layer)
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```
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