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feat(multivariate): add CCC-GARCH and DCC-GARCH -- closes #242 #854

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feat(multivariate): add CCC-GARCH and DCC-GARCH -- closes #242 #854

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16 changes: 16 additions & 0 deletions arch/multivariate/__init__.py
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Original file line number Diff line number Diff line change
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"""
Multivariate ARCH models.

Provides CCC-GARCH (Bollerslev 1990) and DCC-GARCH (Engle 2002) for
modelling time-varying covariance matrices of multivariate return series.
"""

from arch.multivariate.dcc import CCCModel, DCCModel, CCCResult, DCCResult, simulate_dcc

__all__ = [
"CCCModel",
"DCCModel",
"CCCResult",
"DCCResult",
"simulate_dcc",
]
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