Is your feature request related to a problem? Please describe.
is it possible to include a garch (or anything similar) part to model the time variant volatility
Describe the solution you'd like
something similar to auto_arima that can auto search for the best hyper parameters of the garch part
if possible include support for common variants like GARCH-DCC etc.
Describe alternatives you've considered
so in the forecasting part, it can provide a upper boundary and lower boundary in addition to the middle point prediction.
(something similar to what prophet did)
Additional Context
No response
Is your feature request related to a problem? Please describe.
is it possible to include a garch (or anything similar) part to model the time variant volatility
Describe the solution you'd like
something similar to auto_arima that can auto search for the best hyper parameters of the garch part
if possible include support for common variants like GARCH-DCC etc.
Describe alternatives you've considered
so in the forecasting part, it can provide a upper boundary and lower boundary in addition to the middle point prediction.
(something similar to what prophet did)
Additional Context
No response