I'm new to GARCH processes. How can I fit an Integrated GARCH model to log-returns in Python? By "How" I mean which library allows to specify unit-root GARCH model, or how to adapt existing tools. I am currently trying my way around arch library, with little success. I note there is a constraint param in the GARCH model, but unsure how to specify the unit-root requirement.
Any pointer would be most appreciated!
Thanks,
