ROADMAP: Future plans

[bashtage]

Some planned additions. No specific time for completion.

• Patton-Politis-White Bandwidth Selection for Time-Series Bootstraps
• Engle-Granger Cointegration Testing
• Phillips-Ouliaris Cointegration Testing
• Dynamic OLS Cointegration Vector Estimation
• FM OLS Cointegration Vector Estimation
• CCR Cointegration Vector Estimation
• Reduced memory in simulation-forecasting
• GARCH-X and EGARCH-X
• VAR-HAC
• Pre-whitened Recolored Long-run covariance estimation
• Univariate MA Mean Model
• Generalized lag GARCH models (e.g., lag 2 but not 1)
• General support for variance targetted estimation
• Multivariate GARCH

[itsNH98]

Available to work on the Multivariate GARCH if it is still on the Roadmap

[elvinwangyh]

There is an implementation for DCC-GARCH in Python, perhaps you can join the effort https://github.com/Topaceminem/DCC-GARCH .

[premdev1234]

i would like to work on the Univariate MA Mean Model if it is still on the Roadmap