Is there any reason why SARIMAX isn't whitelisted, but the deprecated ARMA and ARIMA processes are? Would it be possible for that module to be whitelisted?
Also, what about arch_model? I asked about this before and got no response. I would like it to model conditional volatility with a GARCH process.
thanks!
The current statsmodels version on Quantopian is 0.6.1., SARIMAX is not available in this version (not until 0.8.1). It's not whitelisted because it's not in the version of statsmodels we are running. We need to keep all the different packages in synch and ensure there aren't conflicts. Unfortunately this often means running packages which aren't the latest and greatest. Sorry if this causes any inconvenience.
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.
In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.
