bashtage/arch: Release 4.4
- Kevin Sheppard
- Stanislav Khrapov
- Gábor Lipták
- Rob Capellini
- esvhd
- Hugle
- JPN
- Michael E. Rose
Publication date
August 2018
DOIAbstract
I am pleased to announce a new release of arch. Changes include: Added named parameters to Dickey-Fuller regressions. Removed use of the module-level NumPy RandomState. All random number generators use separate RandomState instances. Fixed a bug that prevented 1-step forecasts with exogenous regressors Added the Generalized Error Distribution for univariate ARCH models Fixed a bug in MCS when using the max method that prevented all included models from being liste
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