iankhr / armagarch Goto Github PK

I'm sorry to bother you, I can't use your package to predict the results.
I can use this package to predict arma(4,0)-grach(1,1), but when I bulid arma(4,0)-grach(1,2) there is something wrong, please help me, I'm really in a hurry.

`---------------------------------------------------------------------------
ValueError Traceback (most recent call last)
in
----> 1 pred = model.predict(nsteps = 1)

D:\Anaconda\lib\site-packages\armagarch\empModel.py in predict(self, nsteps, params, data, other)
253 mPred = self._mean.predict(nsteps, params = pars[0], data = data, other = other)
254 # get prediction for volatility
--> 255 vPred = self._vol.predict(nsteps, params = pars[1], data = mdlres['et'], other = other)
256 return [mPred, vPred]
257

D:\Anaconda\lib\site-packages\armagarch\garch.py in predict(self, nsteps, params, data, other)
162 for t in range(nsteps):
163 if self._order['q']>0:
--> 164 prediction[t] = prediction[t] + laght[t:t+self._order['q']][::-1]@beta
165
166 if self._order['p']>0:

ValueError: matmul: Input operand 1 has a mismatch in its core dimension 0, with gufunc signature (n?,k),(k,m?)->(n?,m?) (size 2 is different from 1)`

does not run

...\lib\site-packages\armagarch\ARMA.py in _getStartingVals(self)
60 c = 'nc'
61 try:
---> 62 model = sm.ARMA(self._data.values, (self._order['AR'],self._order['MA'])).fit(trend = c)
63 self._startingValues = model.params
64 except ValueError:

I attempted to use your package for the prediction of stock prices using the code of your example as reference. Interestingly, it seems to work fine with some stocks, but with others it generates the following error:
"armagarch.errors.HessianError: Hessian is singular! St.errors are not calculated"
Is there a way to overcome this problem?
Thanks in advance.
Regards,

garch.py in _meanProcess(self, yt, parameters, PQ)
     72             print('param: ',parameters)
     73             print('param[0]: ',parameters[0])
---> 74             et[i]=float(ey)
     75 
     76         et = yt - et

TypeError: only size-1 arrays can be converted to Python scalars

ey is a matrix, but tries to convert to float.

interesting repo. is this ready to use and to install ? I am using windows environment. I am excited to look for installation and doc.

thank you

regards