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Python financial econometrics with ARCH, GARCH and volatility models
What it is
A Python library for financial econometrics, offering univariate ARCH-family volatility models (GARCH, TARCH, EGARCH, EWMA/RiskMetrics), unit root tests, cointegration testing and analysis, bootstrapping, multiple comparison tests, and long-run covariance estimation. Performance-critical parts are written with Cython and/or Numba. Quantitative researchers and analysts working with time series in Python will find it useful for volatility modeling and statistical testing. The library is Python 3 only, with the final Python 2.7 support ending at version 4.8, so older environments cannot use current releases.
At a glance
RecommendedOur rating, based on popularity, maintenance and how ready it is for real use.
| Best for | Professional quants |
|---|---|
| Used for | Data analysis, Strategy research |
| Markets | Multi-market |
| Stack | Python |
| Learning curve | Moderate learning curve |
| Practical value | High practical value |
| Cost | Free and open source |
| Hardware | No GPU needed |
| Maintenance | Commits today |
GitHub stars, last 30 days
Daily snapshots since 2026-09-12 (up to 30 days): +27 over the period, now 1,592. Gaps mean no snapshot was taken that day.
ARCH models in Python.
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