January 2020
Beginner to intermediate
432 pages
11h 24m
English
Content preview from Python for Finance Cookbook
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How it works...
In Step 2 to 4, we downloaded Google's daily stock prices and calculated simple returns. When working with (G)ARCH models, convergence warnings are likely to occur in the case of very small numbers. This is caused by instabilities in the underlying scipy's optimization algorithms. To overcome this issue, we multiplied the returns by 100 to express them as percentages.
In Step 5, we defined the ARCH(1) model. For the mean model, we selected the zero-mean approach, which is suitable for many liquid financial assets. Another viable choice here could be a constant mean.
In Step 6, we fitted the model, using the fit method. Additionally, we passed disp='off' to the fit method to suppress output from the optimization steps. To fit ...
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