Timeseries#

AR(name, rho, *args[, steps, constant, ar_order])

Autoregressive process with p lags.

GaussianRandomWalk(*args[, steps])

Random Walk with Normal innovations.

GARCH11(*args, **kwargs)

GARCH(1,1) with Normal innovations.

MvGaussianRandomWalk(*args, **kwargs)

Multivariate Random Walk with Normal innovations

MvStudentTRandomWalk(*args, **kwargs)

Multivariate Random Walk with StudentT innovations