Implement a basic GARCH model
In this exercise, you will get familiar with the Python arch package, and use its functions such as arch_model() to implement a GARCH(1,1) model.
First define a basic GARCH(1,1) model, then fit the model, review the model fitting summary, and plot the results.
The data to use S&P 500 price return data has been preloaded as sp_data. Also the arch package has been imported for you.
Diese Übung ist Teil des Kurses
GARCH Models in Python
Interaktive Übung
Versuche dich an dieser Übung, indem du diesen Beispielcode vervollständigst.
# Specify GARCH model assumptions
basic_gm = ____(sp_data['Return'], p = ____, q = ____,
mean = '____', vol = 'GARCH', dist = '____')
# Fit the model
gm_result = basic_gm.____(update_freq = 4)