Python for Finance Cookbook

How to do it...

Execute the following steps to estimate a DCC-GARCH model in Python (using R).

1. Import the library:

%load_ext rpy2.ipython

2. Install the rmgarch R package (run only once) and load it:

%%R#install.packages('rmgarch', repos = "http://cran.us.r-project.org")library(rmgarch)

3. Import the dataset into R:

%%R -i returnsprint(head(returns))

Using the preceding command, we print the first five rows of the R data.frame:

4. Define the model specification:

%%R

# define GARCH(1,1) model
univariate_spec <- ugarchspec(    mean.model = list(armaOrder = c(0,0)),     variance.model = list(garchOrder = c(1,1),                           model = "sGARCH"),  distribution.model ...