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Kevin Sheppard · High-frequency financial analysis

Kevin Sheppard's Python package for univariate ARCH/GARCH volatility models, bootstraps, multiple-comparison procedures, unit-root and cointegration tests

NCSAFreeOpen sourceLocalNov 2, 2026

linearmodels

Kevin Sheppard · Econometrics & causal inference

Python package by Kevin Sheppard adding panel data, instrumental-variable, system (SUR/3SLS) and asset-pricing estimators missing from statsmodels

NCSAFreeOpen sourceLocalNov 2, 2026

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arch (Python package)

linearmodels