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C++ implementation of Garch(1,1) with Python binding.

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C++ implementation of Garch(1,1) and Python bindings.

To build,

# or use python virtualenv below instead of conda
conda create -n garch11 python numpy scikit-learn Cython
conda activate garch11
python -m pip install xalglib
python setup.py build_ext --inplace --force

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C++ implementation of Garch(1,1) with Python binding.

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