ENH: ARCH models in Python

This package provides a set of ARCH model with AR and HAR mean dynamics

.travis.yml

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+# Travis script that uses miniconda in place of the system installed python
+# versions.  Allows substantial flexability for choosing versions of
+# required packages and is simpler to use to test up-to-date scientific Python
+# stack
+language: python
+
+env:
+  # Default values for common packages, override as needed
+  global:
+    - CYTHON=0.20
+    - PATSY=0.2
+    - PANDAS=
+    - OPTIONAL=
+    - STATSMODELS=
+    - COVERAGE=true
+
+matrix:
+  fast_finish: true
+  include:
+  - python: 2.7
+    env:
+    - PYTHON=2.7
+    - NUMPY=1.7
+    - SCIPY=0.12
+  - python: 2.7
+    env:
+    - PYTHON=3.3
+    - NUMPY=1.8
+    - SCIPY=0.14
+    - PANDAS=0.14
+    - COVERAGE=false
+
+notifications:
+  email:
+    on_success: always
+
+# Setup anaconda
+before_install:
+  - wget http://repo.continuum.io/miniconda/Miniconda-latest-Linux-x86_64.sh -O miniconda.sh
+  - chmod +x miniconda.sh
+  - ./miniconda.sh -b
+  - export PATH=/home/travis/miniconda/bin:$PATH
+  - sudo apt-get install pandoc
+  - conda update --yes --quiet conda
+  # Fix for headless TravisCI
+  - "export DISPLAY=:99.0"
+  - "sh -e /etc/init.d/xvfb start"
+  # Avoid noise from matplotlib
+  - mkdir $HOME/.config
+  - mkdir $HOME/.config/matplotlib
+
+# Install packages
+install:
+  - conda create --yes --quiet -n arch-test python=${PYTHON} numpy=${NUMPY} scipy=${SCIPY} ipython-notebook statsmodels dateutil nose pip pyyaml setuptools Cython numba matplotlib
+  - source activate arch-test
+  - if [ ${COVERAGE} = true ]; then pip install coverage coveralls nose-cov; fi
+  - python setup.py build
+
+script:
+  - SRCDIR=$PWD
+  - python setup.py install
+  # Show versions
+  - mkdir -p "${SRCDIR}/travis-test"; cd "${SRCDIR}/travis-test"
+  - python -c 'import statsmodels.api as sm; sm.show_versions();'
+  - echo 'import arch; a=arch.test(); import sys; sys.exit((len(a.failures)+len(a.errors))>0)' > test.py
+  - if [ ${COVERAGE} = true ]; then coverage run --rcfile=${SRCDIR}/.travis_coveragerc test.py; else python test.py; fi
+
+after_success:
+  - if [ ${COVERAGE} = true ]; then coveralls --rcfile=${SRCDIR}/.travis_coveragerc; fi

.travis_coveragerc

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+# .coveragerc to control coverage.py
+[run]
+source = arch
+branch = True
+include = */arch/*
+omit = *test_*.py
+
+[report]
+# Regexes for lines to exclude from consideration
+exclude_lines =
+    # Have to re-enable the standard pragma
+    pragma: no cover
+
+    # Don't complain if tests don't hit defensive assertion code:
+    raise NotImplementedError
+    except NotImplementedError
+    # Ignore pass
+    pass
+include = */arch/*
+omit = *test_*.py,*/compat/*,*recursions.py
+ignore_errors = True

LICENSE.md

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+**Copyright (c) 2014 Kevin Sheppard. All rights reserved.**
+
+Developed by: Kevin Sheppard (<[email protected]>,  
+<[email protected]>)
+[http://www.kevinsheppard.com](http://www.kevinsheppard.com)
+
+Permission is hereby granted, free of charge, to any person obtaining a copy of 
+this software and associated documentation files (the "Software"), to deal with 
+the Software without restriction, including without limitation the rights to 
+use, copy, modify, merge, publish, distribute, sublicense, and/or sell copies 
+of the Software, and to permit persons to whom the Software is furnished to do 
+so, subject to the following conditions:
+
+Redistributions of source code must retain the above copyright notice, this 
+list of conditions and the following disclaimers.
+
+Redistributions in binary form must reproduce the above copyright notice, this 
+list of conditions and the following disclaimers in the documentation and/or 
+other materials provided with the distribution.
+
+Neither the names of Kevin Sheppard, nor the names of its contributors may be 
+used to endorse or promote products derived from this Software without specific 
+prior written permission.
+
+**THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR 
+IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, 
+FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE 
+CONTRIBUTORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER 
+LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, 
+OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS WITH 
+THE SOFTWARE.**

MANIFEST.in

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+include VERSION

README.md

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+[![Documentation Status](https://readthedocs.org/projects/arch/badge/?version=latest)](https://readthedocs.org/projects/arch/?badge=latest)
+[![CI Status](https://travis-ci.org/bashtage/arch.svg?branch=master)](https://travis-ci.org/bashtage/arch)
+[![Coverage Status](https://coveralls.io/repos/bashtage/arch/badge.png?branch=master)](https://coveralls.io/r/bashtage/arch?branch=master)
+
+
+# ARCH
+
+This is a work-in-progress for ARCH and related models, written in Python 
+(and Cython)
+
+## What is this repository for?
+
+* Mean models
+  * Constant mean
+  * Heterogeneous Autoregression (HAR)
+  * Autoregression (AR)
+  * Zero mean
+  * Models with and without exogensou regressors
+* Volatility models
+  * ARCH
+  * GARCH
+  * TARCH
+  * EGARCH
+  * EWMA/RiskMetrics
+* Distributions
+  * Normal
+  * Student's T
+
+## Examples
+
+See the [example notebook](http://nbviewer.ipython.org/github/bashtage/arch/blob/master/examples/Examples.ipynb) 
+for a more complete overview.
+
+```python
+import datetime as dt
+import pandas.io.data as web
+st = dt.datetime(1990,1,1)
+en = dt.datetime(2014,1,1)
+data = web.get_data_yahoo('^FTSE', start=st, end=en)
+returns = 100 * data['Adj Close'].pct_change().dropna()
+
+from arch import arch_model
+am = arch_model(returns)
+res = am.fit()
+```
+
+## Documentation
+Documentation is hosted on [read the docs](http://arch.readthedocs.org/en/latest/)
+
+## Requirements
+
+* NumPy (1.7+)
+* SciPy (0.12+)
+* Pandas (0.14+)
+* statsmodels (0.5+)
+* matplotlib (1.3+)
+
+Installing
+* Cython (0.20+)
+* nose (For tests)
+* sphinx (to build docs)
+* sphinx-napoleon (to build docs)
+
+## Installing
+
+Setup does not verify requirements.  Please ensure these are installed.
+
+### Linux/OSX
+
+```
+pip install git+git://github.com/bashtage/arch.git
+```
+
+**Anaconda**
+
+_Anaconda builds are not currently available for OSX._
+
+```
+conda install -c https://conda.binstar.org/bashtage arch
+```
+
+### Windows
+
+**With a compiler**
+
+If you are comfortable compiling binaries on Windows:
+
+```
+pip install git+git://github.com/bashtage/arch.git
+```
+
+**No Compiler**
+
+All binary code is backed by a pure Python implementation.  Compiling can be 
+skipped using the flag `--no-binary`
+
+```
+pip install git+git://github.com/bashtage/arch.git --install-option "--no-binary"
+```
+
+_Note that it isn't possible to run the test suite will fail if installed with_ `--no-binary`
+
+**Anaconda**
+
+```
+conda install -c https://conda.binstar.org/bashtage arch
+```
+
+## More about ARCH
+More information about ARCH and related models is available in the notes and 
+research available at [Kevin Sheppard's site](http://www.kevinsheppard.com).

VERSION

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+1.0

arch/__init__.py

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+import os
+
+from numpy.testing import Tester
+
+from .mean import arch_model
+from ._version import __version__
+
+test = Tester().test
+
+def doc():
+    import webbrowser
+    webbrowser.open('http://arch.readthedocs.org/en/latest/')
+