Comments (3)
Could you post more of your code? I isn't clear what result
is coming from.
from arch.
resid_predict = return[-splitDate: ] - ARIMA_model.predict (start=splitDate, end=end_date)
y= pd.concat ([ ARIMA_model.resid.dropna() , resid_predict ])
model_set= arch_model(y=y, mean = 'zero', vol= 'GARCH', dist='t', p=1 , o=0, q=1)
result= model_set.fit(disp = 'off', last_obs=splitDate)
frcst = result.forecast(horizon=1, start=splitDate, method="simulation", simulations=30 *50)
frcst_variance=frcst.variance .squeeze()
realized_volatility= realized_volatility(n_period=30)
fig, ax = plt.subplots(figsize= (12,6))
ax.plot(result.conditional_volatility, "green",
np.sqrt(frcst_variance), "red" ,
realized_volatility, "blue")
if I set (7,7) for orders of GARCH then:
from arch.
I have another related question. it would be great if it got clear to me. I just change the length of out-of-sample set (test set). it was 30 (days) and I changed it to 5. then in-sample prediction of model which is in fact the conditionally variance again is illustrated by green line. It seems there has been no change in in-sample perdition in last 25 days of train set (in comparison to when I had set the length of test set equal to 30). is this can be considered as evidence that modeling process is taking the test set into the account when the model is building?
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Related Issues (20)
- Exogenous variable in the Volatility Equation HOT 1
- ENH: Add NGARCH specification to set of volatility processes
- Issue when using arch.bootstrap.MCS HOT 9
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- Tests fail: ImportError while loading conftest '/usr/ports/science/py-arch/work-py39/arch-6.1.0/arch/conftest.py'. HOT 3
- Probably bug in FIGARCH implementation with horizon > 1 HOT 1
- ModuleNotFoundError: No module named 'arch' when importing arch_model HOT 7
- add topic garch
- Clarification on `.simulated_variances` attribute of `ARCHModelForecast` object. HOT 3
- `arch_model` estimator is forecasting same value irrespective of the `horizon` parameter. HOT 2
- [DOC] Links to example notebooks for unit root tests and cointegration testing analysis HOT 1
- Are we using two-step approach for estimation? HOT 2
- Time series bootstrapping issues HOT 5
- How to modify GARCH model to incorporate new terms ? HOT 1
- Source for Long Run Covariance Estimator
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from arch.