arbitragelab.ml_approach.tar

This module implements the TAR model by (Enders and Granger 1998).

Module Contents

Classes

TAR	The Threshold AutoRegressive Model is an extension provided by Enders and

class TAR(price_data: pandas.DataFrame)

The Threshold AutoRegressive Model is an extension provided by Enders and Granger to the standard Dicker-Fuller Test. It considers the upside and downside moves separately, thus allowing for the possibility of asymmetric adjustment.

fit() → statsmodels.regression.linear_model.RegressionResults

Fits the OLS model.

Returns:

(RegressionResults)

summary() → pandas.DataFrame

Returns summary as in paper. Uses the Wald Test to check for significance of the following hypotheses; - p_1 = 0 - p_2 = 0 - p_1 = p_2

Returns:

(pd.DataFrame) Summary of results.