January 2020
Beginner to intermediate
432 pages
11h 24m
English
Content preview from Python for Finance Cookbook
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Conditional mean model
As explained before, we apply the GARCH class models to residuals obtained after fitting another model to the series. Some popular choices for the mean model are:
- Zero-mean
- Constant mean
- Any variant of the ARIMA model (including potential seasonality adjustment, as well as external regressors)—some popular choices in the literature are ARMA, or even AR models
- Regression models
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