financialkit.time_series#
Fat tails and the Hill index, random-walk tests (runs, Ljung-Box, variance ratios), Yule-Walker and ARMA with AIC, Dickey-Fuller and Engle-Granger, the Hurst exponent, ARCH, GARCH, EGARCH, GJR and EWMA, and range and realized volatility.
History
The foundational breakthroughs behind this subpackage, linked to the implementation.
Examples
Runnable tutorials and the full example gallery.
API reference
Every public class and function.