Hello everyone! New to this site (and noob in bayesian stats).
I’ve been following this package for quite a bit of time and I was looking for an excuse to give it a try. I recently saw that at my new job we use a lot of garch models to get volatilities over a sample with daily frequency. I thought it would be cool (and useful) to use pymc3 to get a full distribution of the volatility for any given date, but the parameters are omega, alpha1, beta1, not the sigma itself, so Idk how to recover it. I did see that there was some discussion over github about this (can’t find it now ) but it didn’t go anywhere. It’s weird because garch models are typically used to get the volatility.
Is there any way to do this? Is the garch model dev discontinued?