Index

C

calculate_correlation_matrix() (in module timeseries_compute.stats_model) calculate_dynamic_correlation() (in module timeseries_compute.stats_model) calculate_ewma_covariance() (in module timeseries_compute.data_processor) calculate_ewma_volatility() (in module timeseries_compute.data_processor) calculate_fevd() (in module timeseries_compute.spillover_processor) calculate_portfolio_risk() (in module timeseries_compute.stats_model)

calculate_spillover_index() (in module timeseries_compute.spillover_processor) calculate_stats() (in module timeseries_compute.stats_model) construct_covariance_matrix() (in module timeseries_compute.stats_model) create_handler() (timeseries_compute.data_processor.DataScalerFactory static method) (timeseries_compute.data_processor.MissingDataHandlerFactory static method) (timeseries_compute.data_processor.StationaryReturnsProcessorFactory static method) create_model() (timeseries_compute.stats_model.ModelFactory static method)

D

data (timeseries_compute.stats_model.ModelARIMA attribute) (timeseries_compute.stats_model.ModelGARCH attribute) DataScaler (class in timeseries_compute.data_processor) DataScalerFactory (class in timeseries_compute.data_processor)

dates (timeseries_compute.data_generator.PriceSeriesGenerator attribute) df() (in module tests.test_data_processor) dist (timeseries_compute.stats_model.ModelGARCH attribute) drop_na() (timeseries_compute.data_processor.MissingDataHandler method)

E

end_date (timeseries_compute.data_generator.PriceSeriesGenerator attribute)

export_data() (in module timeseries_compute.export_util)

F

fill_data() (in module timeseries_compute.data_processor) fit() (timeseries_compute.stats_model.ModelARIMA method) (timeseries_compute.stats_model.ModelGARCH method) fit_arima_model() (in module timeseries_compute.stats_model) fit_cc_garch() (timeseries_compute.stats_model.ModelMultivariateGARCH method) fit_dcc_garch() (timeseries_compute.stats_model.ModelMultivariateGARCH method) fit_dcc_garch_model() (in module timeseries_compute.stats_model)

fit_garch_model() (in module timeseries_compute.stats_model) fit_var_model() (in module timeseries_compute.spillover_processor) fits (timeseries_compute.stats_model.ModelARIMA attribute) (timeseries_compute.stats_model.ModelGARCH attribute) forecast() (timeseries_compute.stats_model.ModelARIMA method) (timeseries_compute.stats_model.ModelGARCH method) forward_fill() (timeseries_compute.data_processor.MissingDataHandler method)

G

garch_sample_data() (in module tests.test_stats_model_garch) generate_correlated_prices() (timeseries_compute.data_generator.PriceSeriesGenerator method)

generate_price_series() (in module timeseries_compute.data_generator) get_caller_info() (in module timeseries_compute.export_util)

L

log_adf_results() (timeseries_compute.data_processor.StationaryReturnsProcessor method)

log_stationarity() (in module timeseries_compute.data_processor)

M

main() (in module timeseries_compute.examples.example_multivariate_garch) (in module timeseries_compute.examples.example_univariate_garch) make_stationary() (timeseries_compute.data_processor.StationaryReturnsProcessor method) MissingDataHandler (class in timeseries_compute.data_processor) MissingDataHandlerFactory (class in timeseries_compute.data_processor) ModelARIMA (class in timeseries_compute.stats_model) ModelFactory (class in timeseries_compute.stats_model) ModelGARCH (class in timeseries_compute.stats_model) ModelMultivariateGARCH (class in timeseries_compute.stats_model) models (timeseries_compute.stats_model.ModelARIMA attribute) (timeseries_compute.stats_model.ModelGARCH attribute) module tests tests.test_data_generator tests.test_data_processor tests.test_stats_model_arima tests.test_stats_model_garch timeseries_compute.data_generator timeseries_compute.data_processor timeseries_compute.examples.example_multivariate_garch timeseries_compute.examples.example_univariate_garch timeseries_compute.export_util timeseries_compute.spillover_processor timeseries_compute.stats_model

O

order (timeseries_compute.stats_model.ModelARIMA attribute)

P

p (timeseries_compute.stats_model.ModelGARCH attribute) prepare_timeseries_data() (in module timeseries_compute.data_processor)

price_to_returns() (in module timeseries_compute.data_processor) PriceSeriesGenerator (class in timeseries_compute.data_generator)

Q

q (timeseries_compute.stats_model.ModelGARCH attribute)

R

run_arima() (in module timeseries_compute.stats_model) run_diebold_yilmaz_analysis() (in module timeseries_compute.spillover_processor)

run_garch() (in module timeseries_compute.stats_model) run_multivariate_garch() (in module timeseries_compute.stats_model)

S

sample_data() (in module tests.test_data_processor) (in module tests.test_stats_model_arima) sample_df() (in module tests.test_data_processor) scale_data() (in module timeseries_compute.data_processor) scale_data_minmax() (timeseries_compute.data_processor.DataScaler method) scale_data_standardize() (timeseries_compute.data_processor.DataScaler method) scale_for_garch() (in module timeseries_compute.data_processor) set_random_seed() (in module timeseries_compute.data_generator)

start_date (timeseries_compute.data_generator.PriceSeriesGenerator attribute) stationarize_data() (in module timeseries_compute.data_processor) stationary_sample_data() (in module tests.test_stats_model_garch) StationaryReturnsProcessor (class in timeseries_compute.data_processor) StationaryReturnsProcessorFactory (class in timeseries_compute.data_processor) steps (timeseries_compute.stats_model.ModelARIMA attribute) summary() (timeseries_compute.stats_model.ModelARIMA method) (timeseries_compute.stats_model.ModelGARCH method)

T

test_create_handler_drop() (in module tests.test_data_processor) test_create_handler_forward_fill() (in module tests.test_data_processor) test_create_handler_invalid_strategy() (in module tests.test_data_processor) test_drop_na() (in module tests.test_data_processor) test_fill_data() (in module tests.test_data_processor) test_forward_fill() (in module tests.test_data_processor) test_generate_prices() (in module tests.test_data_generator) test_granger_causality() (in module timeseries_compute.spillover_processor) test_model_arima_fit() (in module tests.test_stats_model_arima) test_model_arima_forecast() (in module tests.test_stats_model_arima) test_model_arima_initialization() (in module tests.test_stats_model_arima) test_model_arima_summary() (in module tests.test_stats_model_arima) test_model_garch_different_params() (in module tests.test_stats_model_garch) test_model_garch_fit() (in module tests.test_stats_model_garch) test_model_garch_forecast() (in module tests.test_stats_model_garch) test_model_garch_initialization() (in module tests.test_stats_model_garch) test_model_garch_student_t_dist() (in module tests.test_stats_model_garch) test_model_garch_summary() (in module tests.test_stats_model_garch) test_price_series_generator_initialization() (in module tests.test_data_generator) test_run_garch_function() (in module tests.test_stats_model_garch) test_stationarity() (in module timeseries_compute.data_processor) (timeseries_compute.data_processor.StationaryReturnsProcessor method) test_stationarity_integration() (in module tests.test_data_processor) test_ts_stationarity() (in module tests.test_data_processor)

tests module tests.test_data_generator module tests.test_data_processor module tests.test_stats_model_arima module tests.test_stats_model_garch module timeseries_compute.data_generator module timeseries_compute.data_processor module timeseries_compute.examples.example_multivariate_garch module timeseries_compute.examples.example_univariate_garch module timeseries_compute.export_util module timeseries_compute.spillover_processor module timeseries_compute.stats_model module