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Asm4 2013345148

The document discusses analyzing stock return data for a Vietnamese company called ACB from 2015 to 2023. It loads the stock data, calculates daily returns, and analyzes volatility using standard deviation. It then fits autoregressive, GARCH, EGARCH, and GJR-GARCH models to the return data and compares their results.

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K59 Le Gia Han
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35 views10 pages

Asm4 2013345148

The document discusses analyzing stock return data for a Vietnamese company called ACB from 2015 to 2023. It loads the stock data, calculates daily returns, and analyzes volatility using standard deviation. It then fits autoregressive, GARCH, EGARCH, and GJR-GARCH models to the return data and compares their results.

Uploaded by

K59 Le Gia Han
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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1

import pandas as pd
import numpy as np
from vnstock import *
from matplotlib import pyplot as plt
import seaborn as sns
import math
import warnings
warnings.filterwarnings('ignore')

start_date = "2015-09-01"
end_date = "2023-05-29"
print(start_date)
print(end_date)

2015-09-01
2023-05-29

df = stock_historical_data("ACB", start_date, end_date)


df

Open High Low Close Volume TradingDate

0 4137.0 4182.0 4091.0 4115.0 131193 2015-09-03

1 4046.0 4111.0 4021.0 4069.0 129860 2015-09-04

2 4069.0 4159.0 4068.0 4115.0 140700 2015-09-07

3 4115.0 4421.0 4188.0 4319.0 301747 2015-09-08

4 4342.0 4473.0 4381.0 4433.0 702756 2015-09-09

... ... ... ... ... ... ...

1925 21050.0 21384.0 20883.0 21175.0 21726379 2023-05-23

1926 21300.0 21300.0 20841.0 21008.0 11051426 2023-05-24

1927 21050.0 21050.0 20799.0 20966.0 8792333 2023-05-25

1928 21050.0 21050.0 20841.0 20883.0 8563241 2023-05-26

1929 20966.0 21133.0 20883.0 21008.0 16577082 2023-05-29

1930 rows × 6 columns

df = df.set_index("TradingDate")

df["Return"] = df["Close"].pct_change()
df = df.fillna(0)
df

Open High Low Close Volume Return

TradingDate

2015-09-03 4137.0 4182.0 4091.0 4115.0 131193 0.000000

2015-09-04 4046.0 4111.0 4021.0 4069.0 129860 -0.011179

2015-09-07 4069.0 4159.0 4068.0 4115.0 140700 0.011305

2015-09-08 4115.0 4421.0 4188.0 4319.0 301747 0.049575

2015-09-09 4342.0 4473.0 4381.0 4433.0 702756 0.026395

... ... ... ... ... ... ...

2023-05-23 21050.0 21384.0 20883.0 21175.0 21726379 0.011996

2023-05-24 21300.0 21300.0 20841.0 21008.0 11051426 -0.007887

2023-05-25 21050.0 21050.0 20799.0 20966.0 8792333 -0.001999

2023-05-26 21050.0 21050.0 20841.0 20883.0 8563241 -0.003959

2023-05-29 20966.0 21133.0 20883.0 21008.0 16577082 0.005986

1930 rows × 6 columns

# Plot the return and see how volatile it is


plt.plot(df['Return'], color = 'blue')
plt.show()

# Calculate daily std of returns


std_daily = df['Return'].std()
print('Daily volatility: ', '{:.2f}'.format(std_daily))
# Convert daily volatility to monthly volatility, assume that the average trading days per month are 21 days
std_monthly = math.sqrt(21) * std_daily
print ('Monthly volatility: ', '{:.2f}'.format(std_monthly))

# Convert daily volatility to annaul volatility, assume that the average trading days per year are 252 days
std_annual = math.sqrt(252) * std_daily
print ('Annual volatility: ', '{:.2f}'.format(std_annual))

Daily volatility: 0.02


Monthly volatility: 0.09
Annual volatility: 0.30

import arch

3a

from statsmodels.tsa.ar_model import AutoReg


from statsmodels.tsa.stattools import arma_order_select_ic

maxlag = 10
order = arma_order_select_ic(df["Return"], ic='aic', trend='c', max_ar=10, max_ma=0)
optimal_lag = order['aic_min_order'][0]
print("Optimal lag order:", optimal_lag)

Optimal lag order: 2

model = AutoReg(df["Return"], lags=optimal_lag)


result_ar = model.fit()

ar_resid = result_ar.resid

standardize_ar_resid = ar_resid / std_daily

sns.histplot(x=standardize_ar_resid, kde=True, color="orange")


plt.show()
The histogram looks very similar to the normal distribution. We can use the assumption of Student's t - distribution.

3b

from arch import arch_model


basic_gm = arch_model(df["Return"], p = 1, q = 1, mean = 'constant' , vol = 'GARCH' , dist = 't')
gm_result = basic_gm.fit(disp="off")
print(gm_result.summary())

Constant Mean - GARCH Model Results


====================================================================================
Dep. Variable: Return R-squared: 0.000
Mean Model: Constant Mean Adj. R-squared: 0.000
Vol Model: GARCH Log-Likelihood: 4366.97
Distribution: Standardized Student's t AIC: -8723.94
Method: Maximum Likelihood BIC: -8696.11
No. Observations: 1930
Date: Sun, Jun 11 2023 Df Residuals: 1929
Time: 22:41:49 Df Model: 1
Mean Model
============================================================================
coef std err t P>|t| 95.0% Conf. Int.
----------------------------------------------------------------------------
mu 9.8384e-04 2.582e-04 3.810 1.391e-04 [4.777e-04,1.490e-03]
Volatility Model
============================================================================
coef std err t P>|t| 95.0% Conf. Int.
----------------------------------------------------------------------------
omega 9.6542e-04 3.824e-05 25.249 1.176e-140 [8.905e-04,1.040e-03]
alpha[1] 0.8153 0.157 5.195 2.052e-07 [ 0.508, 1.123]
beta[1] 0.1806 1.455e-02 12.412 2.262e-35 [ 0.152, 0.209]
Distribution
========================================================================
coef std err t P>|t| 95.0% Conf. Int.
------------------------------------------------------------------------
nu 18.7094 0.170 109.787 0.000 [ 18.375, 19.043]
========================================================================

Covariance estimator: robust

egarch_gm = arch_model(df["Return"], p = 1, q = 1, mean = 'constant' , vol = 'EGARCH' , dist = 't')


egarch_result = egarch_gm.fit(disp="off")
print(egarch_result.summary())

Constant Mean - EGARCH Model Results


====================================================================================
Dep. Variable: Return R-squared: 0.000
Mean Model: Constant Mean Adj. R-squared: 0.000
Vol Model: EGARCH Log-Likelihood: 5233.26
Distribution: Standardized Student's t AIC: -10456.5
Method: Maximum Likelihood BIC: -10428.7
No. Observations: 1930
Date: Sun, Jun 11 2023 Df Residuals: 1929
Time: 22:41:49 Df Model: 1
Mean Model
=============================================================================
coef std err t P>|t| 95.0% Conf. Int.
-----------------------------------------------------------------------------
mu 2.9937e-04 2.848e-04 1.051 0.293 [-2.588e-04,8.575e-04]
Volatility Model
===========================================================================
coef std err t P>|t| 95.0% Conf. Int.
---------------------------------------------------------------------------
omega -0.2016 7.017e-02 -2.873 4.072e-03 [ -0.339,-6.404e-02]
alpha[1] 0.2583 3.385e-02 7.630 2.350e-14 [ 0.192, 0.325]
beta[1] 0.9713 8.760e-03 110.875 0.000 [ 0.954, 0.988]
Distribution
========================================================================
coef std err t P>|t| 95.0% Conf. Int.
------------------------------------------------------------------------
nu 3.6896 0.324 11.377 5.464e-30 [ 3.054, 4.325]
========================================================================

Covariance estimator: robust

gjr_gm = arch_model(df["Return"], p = 1, q = 1, o = 1, mean = 'constant' , vol = 'GARCH' , dist = 't')


gjr_result = gjr_gm.fit(disp="off")
print(gjr_result.summary())
Constant Mean - GJR-GARCH Model Results
====================================================================================
Dep. Variable: Return R-squared: 0.000
Mean Model: Constant Mean Adj. R-squared: 0.000
Vol Model: GJR-GARCH Log-Likelihood: -154339.
Distribution: Standardized Student's t AIC: 308691.
Method: Maximum Likelihood BIC: 308724.
No. Observations: 1930
Date: Sun, Jun 11 2023 Df Residuals: 1929
Time: 22:41:49 Df Model: 1
Mean Model
============================================================================
coef std err t P>|t| 95.0% Conf. Int.
----------------------------------------------------------------------------
mu 546.5800 32.820 16.654 2.834e-62 [4.823e+02,6.109e+02]
Volatility Model
=============================================================================
coef std err t P>|t| 95.0% Conf. Int.
-----------------------------------------------------------------------------
omega 1.8869e-05 1.134e-04 0.166 0.868 [-2.034e-04,2.412e-04]
alpha[1] 0.8318 2.001e-02 41.574 0.000 [ 0.793, 0.871]
gamma[1] -0.8311 1.999e-02 -41.583 0.000 [ -0.870, -0.792]
beta[1] 6.7646e-04 9.025e-02 7.496e-03 0.994 [ -0.176, 0.178]
Distribution
========================================================================
coef std err t P>|t| 95.0% Conf. Int.
------------------------------------------------------------------------
nu 38.8808 3.066 12.681 7.550e-37 [ 32.871, 44.890]
========================================================================

Covariance estimator: robust

In-sample: The likelihood value of EGARCH Model is bigger than the likelihood value of GJR-GARCH Model (5233.26>-154339). Hence,
we can conclude that the EGARCH Model is better than the GJR-GARCH Model.

training_df = df["Return"][0:-101]
testing_df = df["Return"][-101:-1]

window = 30
actual_std = testing_df.rolling(window).std()

gjr_gm_training = arch_model(df["Return"], p = 1, q = 1, o = 1, mean = 'constant' , vol = 'GARCH' , dist = 't')


forecasts = {}
for i in range(1,101):

gjr_gm_training_result = gjr_gm_training.fit(first_obs = i,
last_obs = i + len(training_df) - 1, update_freq = 5, disp="off")

temp_result = gjr_gm_training_result.forecast(horizon = 1).variance


fcast = temp_result.iloc[i + len(training_df) - 1]
forecasts[fcast.name] = fcast

forecast_var = pd.DataFrame(forecasts).T

C:\Users\ASUS\anaconda3\envs\Student Resources\lib\site-packages\arch\univariate\base.py:766: ConvergenceWarnin


g: The optimizer returned code 8. The message is:
Positive directional derivative for linesearch
See scipy.optimize.fmin_slsqp for code meaning.

warnings.warn(
C:\Users\ASUS\anaconda3\envs\Student Resources\lib\site-packages\arch\univariate\base.py:766: ConvergenceWarnin
g: The optimizer returned code 4. The message is:
Inequality constraints incompatible
See scipy.optimize.fmin_slsqp for code meaning.

warnings.warn(
C:\Users\ASUS\anaconda3\envs\Student Resources\lib\site-packages\arch\univariate\base.py:766: ConvergenceWarnin
g: The optimizer returned code 4. The message is:
Inequality constraints incompatible
See scipy.optimize.fmin_slsqp for code meaning.

warnings.warn(
C:\Users\ASUS\anaconda3\envs\Student Resources\lib\site-packages\arch\univariate\base.py:766: ConvergenceWarnin
g: The optimizer returned code 8. The message is:
Positive directional derivative for linesearch
See scipy.optimize.fmin_slsqp for code meaning.

warnings.warn(
C:\Users\ASUS\anaconda3\envs\Student Resources\lib\site-packages\arch\univariate\base.py:766: ConvergenceWarnin
g: The optimizer returned code 4. The message is:
Inequality constraints incompatible
See scipy.optimize.fmin_slsqp for code meaning.

warnings.warn(
C:\Users\ASUS\anaconda3\envs\Student Resources\lib\site-packages\arch\univariate\base.py:766: ConvergenceWarnin
g: The optimizer returned code 4. The message is:
Inequality constraints incompatible
See scipy.optimize.fmin_slsqp for code meaning.

warnings.warn(
C:\Users\ASUS\anaconda3\envs\Student Resources\lib\site-packages\arch\univariate\base.py:766: ConvergenceWarnin
g: The optimizer returned code 4. The message is:
Inequality constraints incompatible
See scipy.optimize.fmin_slsqp for code meaning.

warnings.warn(
C:\Users\ASUS\anaconda3\envs\Student Resources\lib\site-packages\arch\univariate\base.py:766: ConvergenceWarnin
g: The optimizer returned code 4. The message is:
Inequality constraints incompatible
See scipy.optimize.fmin_slsqp for code meaning.

warnings.warn(
C:\Users\ASUS\anaconda3\envs\Student Resources\lib\site-packages\arch\univariate\base.py:766: ConvergenceWarnin
g: The optimizer returned code 8. The message is:
Positive directional derivative for linesearch
See scipy.optimize.fmin_slsqp for code meaning.

warnings.warn(
C:\Users\ASUS\anaconda3\envs\Student Resources\lib\site-packages\arch\univariate\base.py:766: ConvergenceWarnin
g: The optimizer returned code 4. The message is:
Inequality constraints incompatible
See scipy.optimize.fmin_slsqp for code meaning.

warnings.warn(
C:\Users\ASUS\anaconda3\envs\Student Resources\lib\site-packages\arch\univariate\base.py:766: ConvergenceWarnin
g: The optimizer returned code 8. The message is:
Positive directional derivative for linesearch
See scipy.optimize.fmin_slsqp for code meaning.

warnings.warn(
C:\Users\ASUS\anaconda3\envs\Student Resources\lib\site-packages\arch\univariate\base.py:766: ConvergenceWarnin
g: The optimizer returned code 8. The message is:
Positive directional derivative for linesearch
See scipy.optimize.fmin_slsqp for code meaning.

warnings.warn(
C:\Users\ASUS\anaconda3\envs\Student Resources\lib\site-packages\arch\univariate\base.py:766: ConvergenceWarnin
g: The optimizer returned code 4. The message is:
Inequality constraints incompatible
See scipy.optimize.fmin_slsqp for code meaning.

warnings.warn(
C:\Users\ASUS\anaconda3\envs\Student Resources\lib\site-packages\arch\univariate\base.py:766: ConvergenceWarnin
g: The optimizer returned code 4. The message is:
Inequality constraints incompatible
See scipy.optimize.fmin_slsqp for code meaning.

warnings.warn(
C:\Users\ASUS\anaconda3\envs\Student Resources\lib\site-packages\arch\univariate\base.py:766: ConvergenceWarnin
g: The optimizer returned code 4. The message is:
Inequality constraints incompatible
See scipy.optimize.fmin_slsqp for code meaning.

warnings.warn(
C:\Users\ASUS\anaconda3\envs\Student Resources\lib\site-packages\arch\univariate\base.py:766: ConvergenceWarnin
g: The optimizer returned code 4. The message is:
Inequality constraints incompatible
See scipy.optimize.fmin_slsqp for code meaning.

warnings.warn(
C:\Users\ASUS\anaconda3\envs\Student Resources\lib\site-packages\arch\univariate\base.py:766: ConvergenceWarnin
g: The optimizer returned code 8. The message is:
Positive directional derivative for linesearch
See scipy.optimize.fmin_slsqp for code meaning.

warnings.warn(
C:\Users\ASUS\anaconda3\envs\Student Resources\lib\site-packages\arch\univariate\base.py:766: ConvergenceWarnin
g: The optimizer returned code 4. The message is:
Inequality constraints incompatible
See scipy.optimize.fmin_slsqp for code meaning.

warnings.warn(
C:\Users\ASUS\anaconda3\envs\Student Resources\lib\site-packages\arch\univariate\base.py:766: ConvergenceWarnin
g: The optimizer returned code 8. The message is:
Positive directional derivative for linesearch
See scipy.optimize.fmin_slsqp for code meaning.

warnings.warn(
C:\Users\ASUS\anaconda3\envs\Student Resources\lib\site-packages\arch\univariate\base.py:766: ConvergenceWarnin
g: The optimizer returned code 8. The message is:
Positive directional derivative for linesearch
See scipy.optimize.fmin_slsqp for code meaning.

warnings.warn(
C:\Users\ASUS\anaconda3\envs\Student Resources\lib\site-packages\arch\univariate\base.py:766: ConvergenceWarnin
g: The optimizer returned code 4. The message is:
Inequality constraints incompatible
See scipy.optimize.fmin_slsqp for code meaning.

warnings.warn(
C:\Users\ASUS\anaconda3\envs\Student Resources\lib\site-packages\arch\univariate\base.py:766: ConvergenceWarnin
g: The optimizer returned code 4. The message is:
Inequality constraints incompatible
See scipy.optimize.fmin_slsqp for code meaning.

warnings.warn(
C:\Users\ASUS\anaconda3\envs\Student Resources\lib\site-packages\arch\univariate\base.py:766: ConvergenceWarnin
g: The optimizer returned code 4. The message is:
Inequality constraints incompatible
See scipy.optimize.fmin_slsqp for code meaning.

warnings.warn(
C:\Users\ASUS\anaconda3\envs\Student Resources\lib\site-packages\arch\univariate\base.py:766: ConvergenceWarnin
g: The optimizer returned code 4. The message is:
Inequality constraints incompatible
See scipy.optimize.fmin_slsqp for code meaning.

warnings.warn(
C:\Users\ASUS\anaconda3\envs\Student Resources\lib\site-packages\arch\univariate\base.py:766: ConvergenceWarnin
g: The optimizer returned code 4. The message is:
Inequality constraints incompatible
See scipy.optimize.fmin_slsqp for code meaning.

warnings.warn(
C:\Users\ASUS\anaconda3\envs\Student Resources\lib\site-packages\arch\univariate\base.py:766: ConvergenceWarnin
g: The optimizer returned code 4. The message is:
Inequality constraints incompatible
See scipy.optimize.fmin_slsqp for code meaning.

warnings.warn(
C:\Users\ASUS\anaconda3\envs\Student Resources\lib\site-packages\arch\univariate\base.py:766: ConvergenceWarnin
g: The optimizer returned code 4. The message is:
Inequality constraints incompatible
See scipy.optimize.fmin_slsqp for code meaning.

warnings.warn(
C:\Users\ASUS\anaconda3\envs\Student Resources\lib\site-packages\arch\univariate\base.py:766: ConvergenceWarnin
g: The optimizer returned code 8. The message is:
Positive directional derivative for linesearch
See scipy.optimize.fmin_slsqp for code meaning.

warnings.warn(
C:\Users\ASUS\anaconda3\envs\Student Resources\lib\site-packages\arch\univariate\base.py:766: ConvergenceWarnin
g: The optimizer returned code 8. The message is:
Positive directional derivative for linesearch
See scipy.optimize.fmin_slsqp for code meaning.

warnings.warn(
C:\Users\ASUS\anaconda3\envs\Student Resources\lib\site-packages\arch\univariate\base.py:766: ConvergenceWarnin
g: The optimizer returned code 4. The message is:
Inequality constraints incompatible
See scipy.optimize.fmin_slsqp for code meaning.

warnings.warn(
C:\Users\ASUS\anaconda3\envs\Student Resources\lib\site-packages\arch\univariate\base.py:766: ConvergenceWarnin
g: The optimizer returned code 4. The message is:
Inequality constraints incompatible
See scipy.optimize.fmin_slsqp for code meaning.

warnings.warn(
C:\Users\ASUS\anaconda3\envs\Student Resources\lib\site-packages\arch\univariate\base.py:766: ConvergenceWarnin
g: The optimizer returned code 4. The message is:
Inequality constraints incompatible
See scipy.optimize.fmin_slsqp for code meaning.

warnings.warn(
C:\Users\ASUS\anaconda3\envs\Student Resources\lib\site-packages\arch\univariate\base.py:766: ConvergenceWarnin
g: The optimizer returned code 4. The message is:
Inequality constraints incompatible
See scipy.optimize.fmin_slsqp for code meaning.

warnings.warn(
C:\Users\ASUS\anaconda3\envs\Student Resources\lib\site-packages\arch\univariate\base.py:766: ConvergenceWarnin
g: The optimizer returned code 8. The message is:
Positive directional derivative for linesearch
See scipy.optimize.fmin_slsqp for code meaning.

warnings.warn(
C:\Users\ASUS\anaconda3\envs\Student Resources\lib\site-packages\arch\univariate\base.py:766: ConvergenceWarnin
g: The optimizer returned code 4. The message is:
Inequality constraints incompatible
See scipy.optimize.fmin_slsqp for code meaning.

warnings.warn(
C:\Users\ASUS\anaconda3\envs\Student Resources\lib\site-packages\arch\univariate\base.py:766: ConvergenceWarnin
g: The optimizer returned code 8. The message is:
Positive directional derivative for linesearch
See scipy.optimize.fmin_slsqp for code meaning.

warnings.warn(

egarch_gm_training = arch_model(df["Return"], p = 1, q = 1, mean = 'constant' , vol = 'EGARCH' , dist = 't')


forecasts_egarch = {}
for i in range(1,101):

egarch_gm_training_result = egarch_gm_training.fit(first_obs = i,
last_obs = i + len(training_df) - 1, update_freq = 5, disp="off")

temp_result_egarch = egarch_gm_training_result.forecast(horizon = 1).variance


fcast_egarch = temp_result_egarch.iloc[i + len(training_df) - 1]
forecasts_egarch[fcast_egarch.name] = fcast_egarch

forecast_var_egarch = pd.DataFrame(forecasts_egarch).T

C:\Users\ASUS\anaconda3\envs\Student Resources\lib\site-packages\arch\univariate\base.py:766: ConvergenceWarnin


g: The optimizer returned code 4. The message is:
Inequality constraints incompatible
See scipy.optimize.fmin_slsqp for code meaning.

warnings.warn(
C:\Users\ASUS\anaconda3\envs\Student Resources\lib\site-packages\arch\univariate\base.py:766: ConvergenceWarnin
g: The optimizer returned code 4. The message is:
Inequality constraints incompatible
See scipy.optimize.fmin_slsqp for code meaning.

warnings.warn(
C:\Users\ASUS\anaconda3\envs\Student Resources\lib\site-packages\arch\univariate\base.py:766: ConvergenceWarnin
g: The optimizer returned code 9. The message is:
Iteration limit reached
See scipy.optimize.fmin_slsqp for code meaning.

warnings.warn(
C:\Users\ASUS\anaconda3\envs\Student Resources\lib\site-packages\arch\univariate\base.py:766: ConvergenceWarnin
g: The optimizer returned code 9. The message is:
Iteration limit reached
See scipy.optimize.fmin_slsqp for code meaning.

warnings.warn(
C:\Users\ASUS\anaconda3\envs\Student Resources\lib\site-packages\arch\univariate\base.py:766: ConvergenceWarnin
g: The optimizer returned code 9. The message is:
Iteration limit reached
See scipy.optimize.fmin_slsqp for code meaning.

warnings.warn(
C:\Users\ASUS\anaconda3\envs\Student Resources\lib\site-packages\arch\univariate\base.py:766: ConvergenceWarnin
g: The optimizer returned code 9. The message is:
Iteration limit reached
See scipy.optimize.fmin_slsqp for code meaning.

warnings.warn(
C:\Users\ASUS\anaconda3\envs\Student Resources\lib\site-packages\arch\univariate\base.py:766: ConvergenceWarnin
g: The optimizer returned code 9. The message is:
Iteration limit reached
See scipy.optimize.fmin_slsqp for code meaning.

warnings.warn(
C:\Users\ASUS\anaconda3\envs\Student Resources\lib\site-packages\arch\univariate\base.py:766: ConvergenceWarnin
g: The optimizer returned code 9. The message is:
Iteration limit reached
See scipy.optimize.fmin_slsqp for code meaning.

warnings.warn(
C:\Users\ASUS\anaconda3\envs\Student Resources\lib\site-packages\arch\univariate\base.py:766: ConvergenceWarnin
g: The optimizer returned code 9. The message is:
Iteration limit reached
See scipy.optimize.fmin_slsqp for code meaning.

warnings.warn(
C:\Users\ASUS\anaconda3\envs\Student Resources\lib\site-packages\arch\univariate\base.py:766: ConvergenceWarnin
g: The optimizer returned code 4. The message is:
Inequality constraints incompatible
See scipy.optimize.fmin_slsqp for code meaning.

warnings.warn(
C:\Users\ASUS\anaconda3\envs\Student Resources\lib\site-packages\arch\univariate\base.py:766: ConvergenceWarnin
g: The optimizer returned code 9. The message is:
Iteration limit reached
See scipy.optimize.fmin_slsqp for code meaning.

warnings.warn(
C:\Users\ASUS\anaconda3\envs\Student Resources\lib\site-packages\arch\univariate\base.py:766: ConvergenceWarnin
g: The optimizer returned code 9. The message is:
Iteration limit reached
See scipy.optimize.fmin_slsqp for code meaning.
warnings.warn(
C:\Users\ASUS\anaconda3\envs\Student Resources\lib\site-packages\arch\univariate\base.py:766: ConvergenceWarnin
g: The optimizer returned code 9. The message is:
Iteration limit reached
See scipy.optimize.fmin_slsqp for code meaning.

warnings.warn(
C:\Users\ASUS\anaconda3\envs\Student Resources\lib\site-packages\arch\univariate\base.py:766: ConvergenceWarnin
g: The optimizer returned code 9. The message is:
Iteration limit reached
See scipy.optimize.fmin_slsqp for code meaning.

warnings.warn(
C:\Users\ASUS\anaconda3\envs\Student Resources\lib\site-packages\arch\univariate\base.py:766: ConvergenceWarnin
g: The optimizer returned code 4. The message is:
Inequality constraints incompatible
See scipy.optimize.fmin_slsqp for code meaning.

warnings.warn(
C:\Users\ASUS\anaconda3\envs\Student Resources\lib\site-packages\arch\univariate\base.py:766: ConvergenceWarnin
g: The optimizer returned code 9. The message is:
Iteration limit reached
See scipy.optimize.fmin_slsqp for code meaning.

warnings.warn(
C:\Users\ASUS\anaconda3\envs\Student Resources\lib\site-packages\arch\univariate\base.py:766: ConvergenceWarnin
g: The optimizer returned code 9. The message is:
Iteration limit reached
See scipy.optimize.fmin_slsqp for code meaning.

warnings.warn(
C:\Users\ASUS\anaconda3\envs\Student Resources\lib\site-packages\arch\univariate\base.py:766: ConvergenceWarnin
g: The optimizer returned code 9. The message is:
Iteration limit reached
See scipy.optimize.fmin_slsqp for code meaning.

warnings.warn(
C:\Users\ASUS\anaconda3\envs\Student Resources\lib\site-packages\arch\univariate\base.py:766: ConvergenceWarnin
g: The optimizer returned code 9. The message is:
Iteration limit reached
See scipy.optimize.fmin_slsqp for code meaning.

warnings.warn(
C:\Users\ASUS\anaconda3\envs\Student Resources\lib\site-packages\arch\univariate\base.py:766: ConvergenceWarnin
g: The optimizer returned code 9. The message is:
Iteration limit reached
See scipy.optimize.fmin_slsqp for code meaning.

warnings.warn(
C:\Users\ASUS\anaconda3\envs\Student Resources\lib\site-packages\arch\univariate\base.py:766: ConvergenceWarnin
g: The optimizer returned code 9. The message is:
Iteration limit reached
See scipy.optimize.fmin_slsqp for code meaning.

warnings.warn(
C:\Users\ASUS\anaconda3\envs\Student Resources\lib\site-packages\arch\univariate\base.py:766: ConvergenceWarnin
g: The optimizer returned code 4. The message is:
Inequality constraints incompatible
See scipy.optimize.fmin_slsqp for code meaning.

warnings.warn(
C:\Users\ASUS\anaconda3\envs\Student Resources\lib\site-packages\arch\univariate\base.py:766: ConvergenceWarnin
g: The optimizer returned code 4. The message is:
Inequality constraints incompatible
See scipy.optimize.fmin_slsqp for code meaning.

warnings.warn(
C:\Users\ASUS\anaconda3\envs\Student Resources\lib\site-packages\arch\univariate\base.py:766: ConvergenceWarnin
g: The optimizer returned code 9. The message is:
Iteration limit reached
See scipy.optimize.fmin_slsqp for code meaning.

warnings.warn(
C:\Users\ASUS\anaconda3\envs\Student Resources\lib\site-packages\arch\univariate\base.py:766: ConvergenceWarnin
g: The optimizer returned code 9. The message is:
Iteration limit reached
See scipy.optimize.fmin_slsqp for code meaning.

warnings.warn(
C:\Users\ASUS\anaconda3\envs\Student Resources\lib\site-packages\arch\univariate\base.py:766: ConvergenceWarnin
g: The optimizer returned code 4. The message is:
Inequality constraints incompatible
See scipy.optimize.fmin_slsqp for code meaning.

warnings.warn(
C:\Users\ASUS\anaconda3\envs\Student Resources\lib\site-packages\arch\univariate\base.py:766: ConvergenceWarnin
g: The optimizer returned code 4. The message is:
Inequality constraints incompatible
See scipy.optimize.fmin_slsqp for code meaning.

warnings.warn(
C:\Users\ASUS\anaconda3\envs\Student Resources\lib\site-packages\arch\univariate\base.py:766: ConvergenceWarnin
g: The optimizer returned code 9. The message is:
Iteration limit reached
See scipy.optimize.fmin_slsqp for code meaning.

warnings.warn(
C:\Users\ASUS\anaconda3\envs\Student Resources\lib\site-packages\arch\univariate\base.py:766: ConvergenceWarnin
g: The optimizer returned code 9. The message is:
Iteration limit reached
See scipy.optimize.fmin_slsqp for code meaning.

warnings.warn(
C:\Users\ASUS\anaconda3\envs\Student Resources\lib\site-packages\arch\univariate\base.py:766: ConvergenceWarnin
g: The optimizer returned code 9. The message is:
Iteration limit reached
See scipy.optimize.fmin_slsqp for code meaning.

warnings.warn(
C:\Users\ASUS\anaconda3\envs\Student Resources\lib\site-packages\arch\univariate\base.py:766: ConvergenceWarnin
g: The optimizer returned code 9. The message is:
Iteration limit reached
See scipy.optimize.fmin_slsqp for code meaning.

warnings.warn(
C:\Users\ASUS\anaconda3\envs\Student Resources\lib\site-packages\arch\univariate\base.py:766: ConvergenceWarnin
g: The optimizer returned code 9. The message is:
Iteration limit reached
See scipy.optimize.fmin_slsqp for code meaning.

warnings.warn(

plt.plot(forecast_var_egarch["h.1"], color="brown", label="predicted_var")


plt.plot(actual_std**2, color="orange", label="actual_var")
plt.title('Volatility of Time Series by EGARCH')
plt.xlabel('Time')
plt.ylabel('Volatility')
plt.grid(True)
plt.legend()
plt.show()

plt.plot(forecast_var["h.1"], color="brown", label="predicted_var")


plt.plot(actual_std**2, color="orange", label="actual_var")
plt.title('Volatility of Time Series by GJR-GARCH')
plt.xlabel('Time')
plt.ylabel('Volatility')
plt.grid(True)
plt.legend()
plt.show()

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