Crisis structural break: I
You have already seen in Chapters 1 and 2 that the global financial crisis changed investor perception regarding market risk, and influenced investor decisions on portfolio allocations to manage risk.
Now you'll have a chance to investigate whether something "structural" changed between 2005 and 2010. In this exercise you can see if quarterly minimum portfolio values and mean return volatility time series together identify a structural break.
You'll check this first with a simple visualization of the data. Plot the quarterly minimum portfolio returns port_q_min and mean return volatility vol_q_mean to identify a date where a structural break may have occurred.
This exercise is part of the course
Quantitative Risk Management in Python
Exercise instructions
- Plot the quarterly minimum portfolio returns.
- Plot the quarterly mean volatility of returns.
- Identify a date where a structural break may have occurred.
Hands-on interactive exercise
Have a go at this exercise by completing this sample code.
# Create a plot of quarterly minimum portfolio returns
plt.____(port_q_min, label="Quarterly minimum return")
# Create a plot of quarterly mean volatility
____(____, label="Quarterly mean volatility")
# Create legend and plot
plt.____
plt.show()