Add Markov Switching GARCH volatility model#791

Open

wday0507 wants to merge 12 commits intobashtage:mainfrom

wday0507:feature/msgarch

Commits on Oct 9, 2025

fix typos

partev
authored and
wday0507
committed
fix: raise upper bound on setuptools-scm from 9 to 9.3

riz0id
authored and
wday0507
committed
fix: remove [toml]

riz0id
authored and
wday0507
committed
Update setuptools_scm version in pyproject.toml

bashtage
authored and
wday0507
committed
Update setuptools_scm version in pyproject.toml

bashtage
authored and
wday0507
committed
MAINT: Upgrade pytest to 8.4.1

bashtage
authored and
wday0507
committed
TYP: Fix small typing issue

bashtage
authored and
wday0507
committed
Implement MS GARCH
wday0507
committed
add polymorphic compute_filtered_probs to VolatilityProcess and MSGARCH. store filtered_probs in ARCHModelResult
wday0507
committed
added _initialise_vol method in VolatilityProcess with MSGARCH override
wday0507
committed
fix: remove trailing whitespace and clean code style
wday0507
committed
WIP: save changes before rebase
wday0507
committed