Merge cd80738 into f176217

.codacy.yml

@@ -0,0 +1,3 @@
+exclude_paths:
+  - 'versioneer.py'
+  - 'arch/_version.py'

ci/performance.py

@@ -6,11 +6,11 @@
 
 from arch.tests.univariate.test_recursions import TestRecursions
 
-if __name__ == '__main__':
+if __name__ == "__main__":
     try:
         import numba  # noqa: F401
     except ImportError:
-        print('numba not available -- skipping performance tests')
+        print("numba not available -- skipping performance tests")
         sys.exit(0)
 
     t = TestRecursions()

doc/source/conf.py

@@ -71,7 +71,7 @@
     "sphinx.ext.napoleon",
     "IPython.sphinxext.ipython_console_highlighting",
     "IPython.sphinxext.ipython_directive",
-    "nbsphinx"
+    "nbsphinx",
 ]
 
 try:
@@ -133,24 +133,24 @@
 
     # sphinx_material theme options (see theme.conf for more information)
     html_theme_options = {
-        'base_url': 'http://bashtage.github.io/arch/',
-        'repo_url': 'https://github.com/bashtage/arch/',
-        'repo_name': 'ARCH',
+        "base_url": "http://bashtage.github.io/arch/",
+        "repo_url": "https://github.com/bashtage/arch/",
+        "repo_name": "ARCH",
         # Set the name of the project to appear in the sidebar
-        "nav_title": project + u" " + version,
-        'globaltoc_depth': 2,
-        'globaltoc_collapse': True,
-        'globaltoc_includehidden': True,
-        'theme_color': '#2196f3',
-        'color_primary': 'blue ',
-        'color_accent': 'indigo',
-        'html_minify': True,
-        'css_minify': True,
-        'master_doc': False
+        "nav_title": project + " " + version,
+        "globaltoc_depth": 2,
+        "globaltoc_collapse": True,
+        "globaltoc_includehidden": True,
+        "theme_color": "#2196f3",
+        "color_primary": "blue ",
+        "color_accent": "indigo",
+        "html_minify": True,
+        "css_minify": True,
+        "master_doc": False,
     }
 
-html_favicon = 'images/favicon.ico'
-html_logo = 'images/bw-logo.svg'
+html_favicon = "images/favicon.ico"
+html_logo = "images/bw-logo.svg"
 # Theme options are theme-specific and customize the look and feel of a theme
 # further.  For a list of options available for each theme, see the
 # documentation.
@@ -174,8 +174,7 @@
 # html_sidebars = {}
 if not on_rtd:
     html_sidebars = {
-        "**": ["logo-text.html", "globaltoc.html", "searchbox.html",
-               "localtoc.html"]
+        "**": ["logo-text.html", "globaltoc.html", "searchbox.html", "localtoc.html"]
     }
 
 # If false, no module index is generated.
@@ -192,15 +191,12 @@
     # The paper size ("letterpaper" or "a4paper").
     #
     # "papersize": "letterpaper",
-
     # The font size ("10pt", "11pt" or "12pt").
     #
     # "pointsize": "10pt",
-
     # Additional stuff for the LaTeX preamble.
     #
     # "preamble": '',
-
     # Latex figure (float) alignment
     #
     # "figure_align": "htbp",
@@ -210,28 +206,30 @@
 # (source start file, target name, title,
 #  author, documentclass [howto, manual, or own class]).
 latex_documents = [
-    (master_doc, "arch.tex", "arch Documentation",
-     "Kevin Sheppard", "manual"),
+    (master_doc, "arch.tex", "arch Documentation", "Kevin Sheppard", "manual"),
 ]
 
 # -- Options for manual page output ------------------------------------------
 
 # One entry per manual page. List of tuples
 # (source start file, name, description, authors, manual section).
-man_pages = [
-    (master_doc, "arch", "arch Documentation",
-     [author], 1)
-]
+man_pages = [(master_doc, "arch", "arch Documentation", [author], 1)]
 
 # -- Options for Texinfo output ----------------------------------------------
 
 # Grouping the document tree into Texinfo files. List of tuples
 # (source start file, target name, title, author,
 #  dir menu entry, description, category)
 texinfo_documents = [
-    (master_doc, "arch", "arch Documentation",
-     author, "arch", "ARCH models in Python",
-     "Finance/Econometrics"),
+    (
+        master_doc,
+        "arch",
+        "arch Documentation",
+        author,
+        "arch",
+        "ARCH models in Python",
+        "Finance/Econometrics",
+    ),
 ]
 
 # -- Options for Epub output -------------------------------------------------
@@ -274,4 +272,4 @@
 napoleon_use_admonition_for_references = True
 
 autosummary_generate = True
-autoclass_content = 'class'
+autoclass_content = "class"

doc/source/images/favicon.py

@@ -6,68 +6,66 @@
 import pandas_datareader as pdr
 import seaborn as sns
 
-colors = sns.color_palette('muted')
+colors = sns.color_palette("muted")
 
 NBINS = 7
 
-plt.rcParams['figure.figsize'] = (10, 10)
+plt.rcParams["figure.figsize"] = (10, 10)
 
 start = datetime.datetime(1980, 1, 1)
 end = datetime.datetime(2020, 1, 1)
-data = pdr.get_data_yahoo('^GSPC', start, end)
-price = data['Adj Close']
-rets = 100 * price.resample('M').last().pct_change()
+data = pdr.get_data_yahoo("^GSPC", start, end)
+price = data["Adj Close"]
+rets = 100 * price.resample("M").last().pct_change()
 
-l, u = rets.quantile([.01, .99])
+l, u = rets.quantile([0.01, 0.99])
 bins = np.linspace(l, u, NBINS)
 fig = plt.figure(frameon=False)
 fig.set_size_inches(8, 8)
-ax = fig.add_subplot('111')
+ax = fig.add_subplot("111")
 rwidth = np.diff(bins).mean() * 0.22
-_, _, patches = ax.hist(rets, bins=bins, rwidth=rwidth,
-                        align='mid')  # '#2196f3')
+_, _, patches = ax.hist(rets, bins=bins, rwidth=rwidth, align="mid")  # '#2196f3')
 for i, patch in enumerate(patches):
     patch.set_facecolor(colors[i])
 ax.set_xticks([])
 ax.set_yticks([])
-ax.set_ylabel('')
+ax.set_ylabel("")
 sns.despine(left=True, bottom=True)
 fig.tight_layout(pad=1.0)
 
-fig.savefig('favicon.svg', transparent=True, bbox_inches=0)
-fig.savefig('favicon.png', transparent=True)
+fig.savefig("favicon.svg", transparent=True, bbox_inches=0)
+fig.savefig("favicon.png", transparent=True)
 
 fig = plt.figure(frameon=False)
 fig.set_size_inches(8, 8)
-ax = fig.add_subplot('111')
+ax = fig.add_subplot("111")
 rwidth = np.diff(bins).mean() * 0.22
-ax.hist(rets, bins=bins, rwidth=rwidth, align='mid', color='#ffffff')
+ax.hist(rets, bins=bins, rwidth=rwidth, align="mid", color="#ffffff")
 ax.set_xticks([])
 ax.set_yticks([])
-ax.set_ylabel('')
+ax.set_ylabel("")
 sns.despine(left=True, bottom=True)
 fig.tight_layout(pad=1.0)
 
-fig.savefig('logo.svg', transparent=True, bbox_inches=0)
+fig.savefig("logo.svg", transparent=True, bbox_inches=0)
 
 
-prop = matplotlib.font_manager.FontProperties('Roboto')
+prop = matplotlib.font_manager.FontProperties("Roboto")
 prop.set_size(216)
 fig = plt.figure(frameon=False, figsize=(12, 4))
-ax = fig.add_subplot('111')
+ax = fig.add_subplot("111")
 rwidth = np.diff(bins).mean() * 0.22
-_, _, patches = ax.hist(rets, bins=bins, rwidth=rwidth,
-                        align='mid')
+_, _, patches = ax.hist(rets, bins=bins, rwidth=rwidth, align="mid")
 for i, patch in enumerate(patches):
     patch.set_facecolor(colors[i])
 ax.set_xticks([])
 ax.set_yticks([])
-text = ax.text(11, 0, 'arch')
+text = ax.text(11, 0, "arch")
 text.set_fontproperties(prop)
 text.set_fontsize(216)
-text.set_color('#757575')
+text.set_color("#757575")
 ax.set_ylim(0, 180)
 sns.despine(left=True, bottom=True)
 fig.tight_layout(pad=1.0)
-fig.savefig('color-logo.png', transparent=True)
-fig.savefig('color-logo.svg', transparent=True)
+fig.savefig("color-logo.png", transparent=True)
+fig.savefig("color-logo.svg", transparent=True)

doc/source/images/hero.py

@@ -8,18 +8,18 @@
 from arch import arch_model
 import arch.data.sp500
 
-warnings.simplefilter('ignore')
-sns.set_style('whitegrid')
-sns.mpl.rcParams['figure.figsize'] = (12, 3)
+warnings.simplefilter("ignore")
+sns.set_style("whitegrid")
+sns.mpl.rcParams["figure.figsize"] = (12, 3)
 
 data = arch.data.sp500.load()
-market = data['Adj Close']
+market = data["Adj Close"]
 returns = 100 * market.pct_change().dropna()
 
 am = arch_model(returns)
 res = am.fit(update_freq=5)
 
-prop = matplotlib.font_manager.FontProperties('Roboto')
+prop = matplotlib.font_manager.FontProperties("Roboto")
 
 
 def _set_tight_x(axis, index):
@@ -32,9 +32,9 @@ def _set_tight_x(axis, index):
 fig = figure()
 ax = fig.add_subplot(1, 1, 1)
 vol = res.conditional_volatility
-title = 'S&P 500 Annualized Conditional Volatility'
-scales = {'D': 252, 'W': 52, 'M': 12}
-vol = vol * np.sqrt(scales['D'])
+title = "S&P 500 Annualized Conditional Volatility"
+scales = {"D": 252, "W": 52, "M": 12}
+vol = vol * np.sqrt(scales["D"])
 
 ax.plot(res._index.values, vol)
 _set_tight_x(ax, res._index)
@@ -43,13 +43,13 @@ def _set_tight_x(axis, index):
 title = ax.get_children()[7]
 title.set_fontproperties(prop)
 title.set_fontsize(26)
-title.set_fontweight('ultralight')
-title.set_fontstretch('ultra-condensed')
-title.set_color('#757575')
-ax.xaxis.label.set_color('#757575')
-ax.yaxis.label.set_color('#757575')
-ax.tick_params(axis='x', colors='#757575')
-ax.tick_params(axis='y', colors='#757575')
+title.set_fontweight("ultralight")
+title.set_fontstretch("ultra-condensed")
+title.set_color("#757575")
+ax.xaxis.label.set_color("#757575")
+ax.yaxis.label.set_color("#757575")
+ax.tick_params(axis="x", colors="#757575")
+ax.tick_params(axis="y", colors="#757575")
 fig.tight_layout(pad=1.0)
-fig.savefig('hero.svg', transparent=True)
-fig.savefig('hero.png', transparent=True)
+fig.savefig("hero.svg", transparent=True)
+fig.savefig("hero.png", transparent=True)