January 2020
Beginner to intermediate
432 pages
11h 24m
English
Content preview from Python for Finance Cookbook
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In this section, we would also like to go over a few more details on estimating GARCH.
- Estimation details: In the first step of estimating the DCC-GARCH model, we can additionally use an approach called variance targeting. The idea is to reduce the number of parameters we need to estimate in the GARCH model.
To do so, we can slightly modify the GARCH equation. The original equation runs as follows:
The unconditional volatility is defined as 
. We can now plug it into the GARCH equation and produce the following:
In the last ...
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