ENH: Add FIAPARCH volatility model by gjunjie · Pull Request #833 · bashtage/arch

gjunjie · 2026-04-03T01:29:59Z

Implements the Fractionally Integrated Asymmetric Power ARCH (FIAPARCH) volatility model, partially addressing #531

FIAPARCH extends FIGARCH with an asymmetry parameter (gamma) and a flexible power parameter (delta). Includes Python/Cython recursions, FIAPARCHUpdater for ARCH-in-mean support, arch_model(..., vol="fiaparch") integration, and tests.

Implement the Fractionally Integrated Asymmetric Power ARCH model, extending FIGARCH with an asymmetry parameter (gamma) and a flexible power parameter (delta). Includes Python and Cython recursions, FIAPARCHUpdater for ARCH-in-mean support, simulation and forecasting, arch_model integration via vol="fiaparch", and comprehensive tests. Made-with: Cursor

Made-with: Cursor

codecov · 2026-04-03T01:41:45Z

Codecov Report

✅ All modified and coverable lines are covered by tests.
✅ Project coverage is 99.56%. Comparing base (2524b62) to head (450fbad).

Additional details and impacted files

@@            Coverage Diff             @@
##             main     #833      +/-   ##
==========================================
+ Coverage   99.53%   99.56%   +0.03%     
==========================================
  Files          78       78              
  Lines       15817    16694     +877     
  Branches     1294     1367      +73     
==========================================
+ Hits        15743    16622     +879     
+ Misses         39       38       -1     
+ Partials       35       34       -1

Flag	Coverage Δ
adder	`99.53% <100.00%> (+0.03%)`	⬆️
subtractor	`99.53% <100.00%> (+0.03%)`	⬆️

Flags with carried forward coverage won't be shown. Click here to find out more.

☔ View full report in Codecov by Sentry.
📢 Have feedback on the report? Share it here.

🚀 New features to boost your workflow:

❄️ Test Analytics: Detect flaky tests, report on failures, and find test suite problems.

gjunjie · 2026-04-03T14:53:24Z

arch/univariate/volatility.py

+            raise ValueError("o must be either 0 or 1.")
+        if self._truncation <= 0:
+            raise ValueError("truncation must be a positive integer")
+        self._num_params = 2 + p + q + o + int(self._est_delta)


override the default

gjunjie · 2026-04-03T14:53:06Z

arch/univariate/volatility.py

+        if self._truncation <= 0:
+            raise ValueError("truncation must be a positive integer")
+        self._num_params = 2 + p + q + o + int(self._est_delta)
+        self._name = self._generate_name()


override the default

gjunjie · 2026-04-03T14:57:53Z

arch/univariate/recursions_python.py

+    return sigma2
+
+
+fiaparch_recursion = jit(fiaparch_recursion_python, nopython=True)


fiaparch_recursion is consumed by volatility.py through the rec alias

Copilot

Pull request overview

Adds the Fractionally Integrated Asymmetric Power ARCH (FIAPARCH) volatility process and wires it into the high-level arch_model API, including recursions/updaters and unit tests.

Changes:

Implement FIAPARCH volatility process (variance recursion, simulation, forecasting, constraints/bounds, parameter naming).
Add Cython + Python (Numba) recursions and FIAPARCHUpdater for ARCH-in-mean compatibility.
Integrate vol="fiaparch" into arch_model and add targeted tests.

Reviewed changes

Copilot reviewed 8 out of 8 changed files in this pull request and generated 1 comment.

Show a summary per file

File	Description
`arch/univariate/volatility.py`	Adds the `FIAPARCH` volatility process implementation and hooks it to recursion/updater code.
`arch/univariate/recursions.pyx`	Adds the Cython FIAPARCH recursion and volatility updater.
`arch/univariate/recursions.pyi`	Exposes typing for the new recursion and updater.
`arch/univariate/recursions_python.py`	Adds the Python/Numba FIAPARCH recursion and updater implementation.
`arch/univariate/mean.py`	Enables `arch_model(..., vol="fiaparch")` selection.
`arch/univariate/__init__.py`	Exports `FIAPARCH` at package level.
`arch/tests/univariate/test_volatility.py`	Adds unit tests for FIAPARCH recursion, updater, simulation, and parameterization variants.
`arch/tests/univariate/test_mean.py`	Tests `arch_model` integration for `vol="fiaparch"`.

Comments suppressed due to low confidence (2)

arch/univariate/mean.py:2004

arch_model now accepts vol="fiaparch" (via known_vol), but the function signature type annotation and docstring list of supported volatility models still omit FIAPARCH. This makes the public API docs/type checking inconsistent with runtime behavior. Update the vol: Literal[...] annotation and the docstring’s supported options to include FIAPARCH (and keep casing/aliases consistent with the existing options).

    known_mean = ("zero", "constant", "harx", "har", "ar", "arx", "ls")
    known_vol = (
        "arch",
        "figarch",
        "fiaparch",
        "aparch",
        "garch",
        "harch",
        "constant",
        "egarch",
    )

arch/univariate/mean.py:2045

The p-type validation checks vol (original input) against a lowercase tuple. This means arch_model(..., vol="FIAPARCH") (or other uppercase variants) won’t trigger the intended TypeError when p is not an int, and will instead fail later via an assert isinstance(p, int) branch. Use vol_model (the lowercased value) in this condition to make validation case-insensitive and avoid AssertionError for user input.

    if vol in ("arch", "garch", "figarch", "fiaparch", "egarch", "aparch") and not isinstance(
        p, int
    ):
        raise TypeError(
            "p must be a scalar int for all volatility processes except HARCH."
        )

💡 Add Copilot custom instructions for smarter, more guided reviews. Learn how to get started.

arch/univariate/volatility.py

bashtage · 2026-04-03T12:09:23Z

I've only just skimmed and it looks good on first pass. Any chance you could hit edge cases that are missed in coverage?

gjunjie · 2026-04-03T13:25:14Z

I've only just skimmed and it looks good on first pass. Any chance you could hit edge cases that are missed in coverage?

Thanks! @bashtage Let me resolve the comments and think more on the edge cases.

- Add FIAPARCH to arch_model vol parameter type hint and docstring - Fix delta assignment bug in FIAPARCH.__init__ (used raw delta instead of self._delta for range check, then reassigned) - Fix arch_model using `vol` instead of `vol_model` for p type check - Parametrize updater-vs-recursion test over o and delta - Add tests for no-beta/no-asym compute_variance, simulation, backcast_transform, fixed-delta str, and high-persistence warnings - Include FIAPARCH in forecast test volatilities list Made-with: Cursor

Fix bug using vol_model instead of vol in arch_model type check. Add tests for FIAPARCH with reduced p, o, q combinations including forecasting, simulation, parameter names, and backcast_transform. Made-with: Cursor

Cover the two partial-coverage lines flagged by Codecov (q=0 branch in fiaparch_recursion_python, persistence >= 1 simulation path) and exercise additional edge cases: p=0/q=0 recursion, updater buffer reuse, and compute_variance sigma_delta reuse. Made-with: Cursor

The `if persistence < 1` guard is unnecessary since the test parameters always yield persistence < 1. The persistence >= 1 case is already covered by dedicated tests. Made-with: Cursor

Made-with: Cursor

Matches the Cython updater so pickle round-tripping works when the extension is not built (e.g. ARCH_NO_BINARY CI), fixing test_fiaparch_updater_reduce_setstate. Made-with: Cursor

gjunjie added 2 commits April 2, 2026 21:24

Remove unused variables in FIAPARCH forecast and tests

7beb3c5

Made-with: Cursor

bashtage requested a review from Copilot April 3, 2026 06:12

Copilot started reviewing on behalf of bashtage April 3, 2026 06:13 View session

github-advanced-security bot found potential problems Apr 3, 2026

View reviewed changes

Copilot AI reviewed Apr 3, 2026

View reviewed changes

arch/univariate/volatility.py Outdated Show resolved Hide resolved

gjunjie added 5 commits April 3, 2026 10:27

Fix arch_model vol check and expand FIAPARCH reduced-order tests

11d18ab

Fix bug using vol_model instead of vol in arch_model type check. Add tests for FIAPARCH with reduced p, o, q combinations including forecasting, simulation, parameter names, and backcast_transform. Made-with: Cursor

Remove partial branch in test_fiaparch to fix coverage

08a4b4f

The `if persistence < 1` guard is unnecessary since the test parameters always yield persistence < 1. The persistence >= 1 case is already covered by dedicated tests. Made-with: Cursor

Expand FIAPARCH updater tests and add reduce/setstate coverage

2641b26

Made-with: Cursor

gjunjie force-pushed the add-fiaparch branch from b46af6d to 2641b26 Compare April 4, 2026 15:30

Add __reduce__ and __setstate__ to pure-Python FIAPARCHUpdater

450fbad

Matches the Cython updater so pickle round-tripping works when the extension is not built (e.g. ARCH_NO_BINARY CI), fixing test_fiaparch_updater_reduce_setstate. Made-with: Cursor

Provide feedback

Saved searches

Use saved searches to filter your results more quickly

ENH: Add FIAPARCH volatility model#833

ENH: Add FIAPARCH volatility model#833
gjunjie wants to merge 8 commits intobashtage:mainfrom
gjunjie:add-fiaparch

gjunjie commented Apr 3, 2026

Uh oh!

codecov bot commented Apr 3, 2026 •

edited

Loading

Uh oh!

gjunjie Apr 3, 2026

Uh oh!

gjunjie Apr 3, 2026

Uh oh!

gjunjie Apr 3, 2026

Uh oh!

Copilot AI left a comment

Uh oh!

Uh oh!

bashtage commented Apr 3, 2026

Uh oh!

gjunjie commented Apr 3, 2026

Uh oh!

Reviewers

Assignees

Labels

Projects

Milestone

Development

Uh oh!

4 participants

		return sigma2


		fiaparch_recursion = jit(fiaparch_recursion_python, nopython=True)

Conversation

gjunjie commented Apr 3, 2026

Uh oh!

codecov bot commented Apr 3, 2026 • edited Loading Uh oh! There was an error while loading. Please reload this page.

Uh oh!

Codecov Report

Uh oh!

gjunjie Apr 3, 2026

Choose a reason for hiding this comment

Uh oh!

gjunjie Apr 3, 2026

Choose a reason for hiding this comment

Uh oh!

gjunjie Apr 3, 2026

Choose a reason for hiding this comment

Uh oh!

Copilot AI left a comment

Choose a reason for hiding this comment

Pull request overview

Reviewed changes

Uh oh!

Uh oh!

bashtage commented Apr 3, 2026

Uh oh!

gjunjie commented Apr 3, 2026

Uh oh!

Reviewers

Assignees

Labels

Projects

Milestone

Development

Uh oh!

4 participants

codecov bot commented Apr 3, 2026 •

edited

Loading