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Adding GARCH #4815

Merged
merged 81 commits into from
May 10, 2023
Merged

Adding GARCH #4815

merged 81 commits into from
May 10, 2023

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northern-64bit
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Description

Adding GARCH, its model fit and forecasts. It also reorganizes the econometrics menu.

How has this been tested?

Comparing to sample GARCH results from Hull.

Checklist:

Others

  • I have performed a self-review of my own code.
  • I have commented my code, particularly in hard-to-understand areas.

@northern-64bit northern-64bit requested a review from JerBouma April 17, 2023 20:32
@reviewpad reviewpad bot added the feat S Small T-Shirt size Feature label Apr 17, 2023
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codecov bot commented Apr 17, 2023

Codecov Report

Patch coverage: 55.04% and project coverage change: -0.24 ⚠️

Comparison is base (df9a154) 58.29% compared to head (103b1a8) 58.05%.

❗ Current head 103b1a8 differs from pull request most recent head 3e52b2d. Consider uploading reports for the commit 3e52b2d to get more accurate results

Additional details and impacted files
@@             Coverage Diff             @@
##           develop    #4815      +/-   ##
===========================================
- Coverage    58.29%   58.05%   -0.24%     
===========================================
  Files          588      588              
  Lines        53666    53877     +211     
===========================================
- Hits         31283    31277       -6     
- Misses       22383    22600     +217     
Impacted Files Coverage Δ
.../core/plots/plotly_ta/plugins/volatility_plugin.py 31.37% <0.00%> (-1.29%) ⬇️
...inal/core/sdk/controllers/crypto_sdk_controller.py 0.00% <ø> (ø)
...inal/core/sdk/controllers/stocks_sdk_controller.py 0.00% <ø> (ø)
...penbb_terminal/core/sdk/models/crypto_sdk_model.py 0.00% <0.00%> (ø)
...penbb_terminal/core/sdk/models/stocks_sdk_model.py 0.00% <0.00%> (ø)
openbb_terminal/core/sdk/sdk_helpers.py 36.92% <ø> (ø)
openbb_terminal/core/sdk/sdk_init.py 92.75% <ø> (ø)
openbb_terminal/core/sdk/trailmap.py 92.68% <ø> (ø)
openbb_terminal/dashboards/stream/Forecasting.py 0.00% <0.00%> (ø)
...bb_terminal/dashboards/stream/streamlit_helpers.py 0.00% <0.00%> (ø)
... and 41 more

... and 3 files with indirect coverage changes

☔ View full report in Codecov by Sentry.
📢 Do you have feedback about the report comment? Let us know in this issue.

@reviewpad reviewpad bot added feat M Medium T-Shirt size feature and removed feat S Small T-Shirt size Feature labels Apr 20, 2023
@northern-64bit northern-64bit requested a review from jmaslek April 20, 2023 20:20
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Note that running doctest on the example in the test fails:

I've now fixed it :)

@northern-64bit northern-64bit requested a review from jmaslek May 5, 2023 15:24
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jmaslek commented May 9, 2023

Note that running doctest on the example in the test fails:

I've now fixed it :)

The docstring does not represent a functional example

    51         return np.asarray(x.iloc[:, 0])

ValueError: y must be squeezable to 1 dimension

You need to specify a column from the load. Also linters are failing

@jmaslek jmaslek enabled auto-merge May 10, 2023 14:22
@jmaslek jmaslek added this pull request to the merge queue May 10, 2023
Merged via the queue into OpenBB-finance:develop with commit bde21f0 May 10, 2023
@northern-64bit northern-64bit deleted the feature/garch branch May 10, 2023 17:03
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6 participants