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I have been using Python to fit an ARCH model to monthly return series of Intel stock from 1989-2010. I have used the ARCH library written by Kevin Shepphard. Now, when cross checking with R, my coefficients of Volatilty model is slightly different than what R tells me it is. I am wondering, why is there so many differences in results across packages? Which language is correct then? R's fGarch package or Kevin shepphards package? The problem is the p values across the two languages are completely different. I'm confused which language to use to get the correct results. I have attached the link to my work below. If you scroll down, you will be able to see my Python implementation where I'm trying to fit a arch(3) model and likewise Rs implementation. If someone can please explain where the difference is coming from and which package to trust, I would highly appreciate it

Thanks

http://nbviewer.ipython.org/gist/mrajancsr/96a19065794c8c0bd850

turtle_in_mind
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  • Btw, whoever reads this. Arch library in Python is completely messed up compared to R. Coefficients of the volatility model are completely misspecified and the resulting P values are wrong as well. I contacted the author and still haven't gotten a response. – turtle_in_mind Jul 28 '15 at 17:43

1 Answers1

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Fixed in 95ccc3e on August 6, 2015

https://github.com/bashtage/arch/commit/95ccc3e94d408d92c6d0d8635a62ff2a26243f45

Kevin S
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