Mastering Python for Finance - Second Edition

Comparing the results

Let's compare the calculated VIX values against actual VIX values by reusing the DataFrame df_vix_data VIX Index that was downloaded in an earlier section, and extract only the relevant values for the corresponding week of 15th to 19th of October, 2018:

In [ ]:    df_vix = df_vix_data['2018-10-14':'2018-10-21']['5. adjusted close']

The actual end-of-day VIX values for the period are as follows:

In [ ]:    df_vix.head(5)Out [ ]:    date
    2018-10-15    21.30
    2018-10-16    17.62
    2018-10-17    17.40
    2018-10-18    20.06
    2018-10-19    19.89
    Name: 5. adjusted close, dtype: float64

Let's merge the actual VIX values and the calculated values into a single DataFrame, and plot them:

In [ ]:    df_merged = pd.DataFrame({         'Calculated': pd_calcs['VIX'], 'Actual': ...