financialkit.time_series
========================


.. include:: /_generated/nav/time_series.rst

Returns and their stylized facts (the Hill tail index, moments and the
Jarque-Bera test); tests of the random walk (serial correlation, Fama's
runs test, Box-Pierce and Ljung-Box, Lo-MacKinlay variance ratios);
Yule-Walker autoregressions (``scipy.linalg.solve_toeplitz``), partial
autocorrelations, ARMA simulation (``scipy.signal.lfilter``) and
conditional maximum likelihood (``scipy.optimize.least_squares``) with
AIC/BIC order selection; the augmented Dickey-Fuller and Engle-Granger
tests with MacKinnon's critical values; Hurst's rescaled range and
fractional Gaussian noise; ARCH, GARCH, EGARCH, GJR-GARCH and RiskMetrics
EWMA volatility models fitted by maximum likelihood
(``scipy.optimize.minimize``), Engle's ARCH-LM test, Parkinson's range
estimator and realized variance.

.. automodule:: financialkit.time_series
   :members:
   :undoc-members: