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.
Deze oefening maakt deel uit van de cursus
GARCH Models in Python
Praktische interactieve oefening
Probeer deze oefening eens door deze voorbeeldcode in te vullen.
# 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)