Hello, I’m new to PYMC3 and PPL’s in general. I have a matrix of stock returns and I’m trying to use PYMC3 to do a rolling estimate of the covariance matrix. I’ve seen the rolling regression and stochastic volatilty examples, but can’t quite figure out how to generalize this to N stocks and do the…

Getting started with rolling co-variance matrix estimate?

newquant November 26, 2018, 5:49pm 11

^ This is all very insightful. Thanks

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