def getegarchreturn(start, startfromenum, end, endfromenum, datefunc,
returnfunc):
if startfromenum == True and endfromenum == True:
startdate = start.value
enddate = end.value
elif startfromenum == True and endfromenum == False:
startdate = start.value
enddate = pandas.to_datetime(end)
elif startfromenum == False and endfromenum == True:
startdate = pandas.to_datetime(start)
enddate = end.value
elif startfromenum == False and endfromenum == False:
startdate = pandas.to_datetime(start)
enddate = pandas.to_datetime(end)
else:
print("invalid booleans")
date = datefunc.tolist()
startindex = date.index(startdate)
endindex = date.index(enddate)
archrange = returnfunc[startindex:endindex]
am = arch.arch_model(archrange)
am.volatility = arch.EGARCH(p=2, o=1, q=1)
amres = am.fit(update_freq=0)
print(amres)
return amres.params
def egarchmodel(self):
ae = self.am
ae.volatility = arch.EGARCH(p=2, o=1, q=1)
self.aeres = ae.fit(update_freq=0)
print(self.aeres.summary())
egarchFig = plt.figure()
self.eresiduals = self.aeres.resid / self.aeres.conditional_volatility
ergraph = egarchFig.add_subplot(212)
ergraph.plot(self.modelDate, self.eresiduals)
self.evolatility = self.aeres._volatility
evgraph = egarchFig.add_subplot(211)
evgraph.plot(self.modelDate, self.evolatility)
plt.draw()
plt.show()
def linesmodel(self):
ae = self.am
ae.volatility = arch.EGARCH(p=2, o=1, q=1)
self.aeres = ae.fit(update_freq=0)
print(self.aeres.summary())
egarchFig = plt.figure()
self.eresiduals = self.aeres.resid / self.aeres.conditional_volatility
ergraph = egarchFig.add_subplot(212)
ergraph.plot(self.modelDate, self.eresiduals)
self.evolatility = self.aeres._volatility
evgraph = egarchFig.add_subplot(211)
evgraph.plot(self.modelDate, self.evolatility)
ergraph.set_title('EGARCH Standardized Residuals')
evgraph.set_title('EGARCH Conditional Volatility')
for xc in self.xposition:
evgraph.axvline(x=xc, color='k', linestyle='-')
ergraph.axvline(x=xc, color='k', linestyle='-')
plt.draw()
plt.show()
