def plotRealAuto():
'''
Plot scatterplot of historical volatility and its one day lag
'''
startDate = '2018-10-19'
endDate = '2019-10-21'
myTic = '^GSPC'
winvol = 22
myRef = yfRef(mydate=startDate, undl=myTic)
sqret = myRef.getSqRet(startDate, endDate)
pyplot.scatter(sqret[:-1], sqret[1:])
pyplot.show()
def plotMeanRev(startDate='2018-10-19',
endDate='2019-10-21',
myTic='^GSPC',
winvol=22):
'''
Plot historical realized against the average
'''
myRef = yfRef(mydate=startDate, undl=myTic)
volR = myRef.getRealized(startDate, endDate, winvol)
pyplot.plot(volR.index,
volR,
color='r',
label=str(winvol) + 'd Realized Vol SP500')
pyplot.plot(volR.index,
np.ones(len(volR)) * np.mean(volR),
color='k',
label='Average')
pyplot.legend()
pyplot.savefig('meanRev.pdf')
pyplot.show()
def volSpotCorr(startDate='2018-10-03',
endDate='2019-10-08',
myTic='^GSPC',
window=25):
myRef = yfRef(mydate=startDate, undl=myTic)
volR = myRef.getRealized(startDate, endDate, window)
mySpot = myRef.setSpotHist(startDate, endDate)
pyplot.scatter(mySpot, volR, color=['r', 'k'])
z = np.polyfit(mySpot, volR, 1)
p = np.poly1d(z)
pyplot.plot(mySpot,
p(mySpot),
color='k',
label='Trend, R^2 = ' +
str(round(r2_score(volR, p(mySpot)), 4)))
pyplot.xlabel('S&P 500 Spot')
pyplot.ylabel(str(window) + 'd Realized S&P 500 Vol')
pyplot.legend()
pyplot.savefig('Artifacts\spotVol.pdf')
pyplot.show()
def plotVixAuto():
'''
Plot scatterplot of historical VIX and its one day lag
'''
startDate = '2018-10-19'
endDate = '2019-10-21'
myTic = '^GSPC'
myRef = yfRef(mydate=startDate, undl=myTic)
myVix = myRef.getVolHist(startDate, endDate)
pyplot.scatter(myVix[:-1], myVix[1:], color=['r', 'k'])
z = np.polyfit(myVix[:-1], myVix[1:], 1)
p = np.poly1d(z)
pyplot.plot(myVix[:-1],
p(myVix[:-1]),
color='k',
label='Trend, R^2 = ' +
str(round(r2_score(myVix[:-1], p(myVix[:-1])), 4)))
pyplot.xlabel('VIX 1d Lag')
pyplot.ylabel('VIX')
pyplot.legend()
pyplot.savefig('autoCorVix.pdf')
pyplot.show()
