garch11:
[ 1.01258264 0.24149155 0.50479994]
-2056.3877404
R include_constant=False
Final Estimate:
LLH: 2056.397 norm LLH: 2.056397
omega alpha1 beta1
1.0123560 0.2409589 0.5049154
'''
erro, ho, etaxo = generate_gjrgarch(20,
ar,
ma,
mu=0.04,
scale=0.01,
varinnovation=np.ones(20))
if 'sp500' in examples:
import tabular as tb
import scikits.timeseries as ts
a = tb.loadSV(r'C:\Josef\work-oth\gspc_table.csv')
s = ts.time_series(a[0]['Close'][::-1],
dates=ts.date_array(a[0]['Date'][::-1], freq="D"))
sp500 = a[0]['Close'][::-1]
sp500r = np.diff(np.log(sp500))
#plt.show()
rearranged
1.00796791 0.24449867(-0.00521004) 0.50554663
garch11:
[ 1.01258264 0.24149155 0.50479994]
-2056.3877404
R include_constant=False
Final Estimate:
LLH: 2056.397 norm LLH: 2.056397
omega alpha1 beta1
1.0123560 0.2409589 0.5049154
'''
erro,ho, etaxo = generate_gjrgarch(20, ar, ma, mu=0.04, scale=0.01,
varinnovation = np.ones(20))
if 'sp500' in examples:
import tabular as tb
import scikits.timeseries as ts
a = tb.loadSV(r'C:\Josef\work-oth\gspc_table.csv')
s = ts.time_series(a[0]['Close'][::-1],
dates=ts.date_array(a[0]['Date'][::-1],freq="D"))
sp500 = a[0]['Close'][::-1]
sp500r = np.diff(np.log(sp500))
plt.show()