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.
Este exercício faz parte do curso
GARCH Models in Python
Exercício interativo prático
Experimente este exercício completando este código de exemplo.
# 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)