import Helpers as hlp
import arch
import statsmodels.api as sm
from scipy.signal import detrend
from statsmodels.graphics.tsaplots import plot_acf, plot_pacf
for cur in dl.valid_currencies():
print 'Evaluating {}'.format(cur)
c_train, c_test = dl.load_test_train(cur)
train_volatility = hlp.rolling_standard_dev(c_train.values)
test_volatility = hlp.rolling_standard_dev(c_test.values)
garch_model = arch.arch_model(train_volatility).fit()
params = garch_model.params['omega'],\
garch_model.params['alpha[1]'],\
garch_model.params['beta[1]']
forecaster = hlp.GarchForecaster(params)
garch_predict = pd.Series(test_volatility,dtype=float)\
.apply(lambda x: forecaster.forecast(x))\
.shift(1)
dFrame = pd.DataFrame(test_volatility, columns=['Actual'])
dFrame['Predict'] = garch_predict
dFrame.plot(title=cur)
def garch_forecast(self):
"""Return GARCH(1,1) volatility forecast as a tensor of shape[V]
where V is vectors/day.
"""
# short circuit for speeding up testing
#return numpy.array([0] * len(self._past_returns[0]))
try:
return self._garch_forecast
except AttributeError:
logging.info("runing garch forecast")
variances = []
for values in numpy.transpose(self._past_returns):
garch = arch.arch_model(values)
results = garch.fit(disp = "off")
omega = results.params["omega"]
alpha1 = results.params["alpha[1]"]
beta1 = results.params["beta[1]"]
forecast = omega\
+ alpha1 * results.resid[-1] ** 2\
+ beta1 * results.conditional_volatility[-1] ** 2
if numpy.isnan(forecast):
forecast = 0
forecast = max(forecast, 0) # ignore negative variance
forecast = min(forecast, 0.04) # limit to trading halt trigger
variances.append(forecast)
self._garch_forecast = numpy.sqrt(variances) * numpy.sqrt(252)
return self._garch_forecast
def get_cv_from_file(f):
with open(os.path.join(datadir,f),'r') as inf:
fulls = inf.read().decode('latin1')
for tag in ['table','td','th','tr']:
fulls = sub(r'<{0} .*?>'.format(tag),'<{0}>'.format(tag),fulls)
bs = BeautifulSoup(fulls,'lxml')
rows = bs.find_all('tr')
dates = []
vals = []
for j,row in enumerate(rows[1:-1]): # remove last row cause instead of percent gain they show level
td = row.find_all('td')
fl = parseFloat(td[2].text)
if fl is not None and fl > 0.0:
dates.append(parseDate(td[0].text))
vals.append(fl)
dates.reverse()
vals.reverse()
df = pd.DataFrame(zip(dates, vals), columns = ['Dates','Prices'])
df['Returns'] = df.Prices.pct_change()*100
df = df[df['Returns'].abs() < 25] ## bad rule of thumb to clean measurement errors
df.set_index('Dates', inplace = True)
am = arch_model(df.Returns.dropna().tolist(), p=1, o=0, q=1)
res = am.fit(update_freq=1, disp='off')
df['cv'] = res.conditional_volatility
d = df.resample("6M", how='mean')
d.index = d.index.map(lambda t: t.replace(year=t.year, month=((t.month -1) // 6 +1)*6, day=1))
return d
def GARCH(share):
r = returns(share)
am = arch.arch_model(r)
res = am.fit(update_freq=5)
var = res.conditional_volatility[len(r) - 251]
# print(res.summary())
params = res.params.tolist()
params.append(var)
return params
def load_external():
#http://www.policyuncertainty.com/europe_monthly.html
fedea = 'FEEA.PURE064A.M.ES' #'FEEA.SMOOTH064A.M.ES'
ipri = 'ESE.425000259D.M.ES'
## government bonds:
gb = ['EU.IRT_H_CGBY_M.M.DE','BE.IE_2_6_502A1.M.DE','EU.IRT_H_CGBY_M.M.ES','BE.BE_26_25_10294.M.ES','ESE.854200259D.M.ES']
qbuilder = inquisitor.Inquisitor(token)
df = qbuilder.series(ticker = [fedea, ipri] + gb)
returns = df['ESE.854200259D.M.ES'].pct_change().dropna()*100
returns = returns.sub(returns.mean())['19890101':]
am = arch_model(returns, p=1, o=0, q=1)
res = am.fit(update_freq=1, disp='off')
df['cv'] = res.conditional_volatility
return df
def arch_test():
r = numpy.array([0.945532630498276,
0.614772790142383,
0.834417758890680,
0.862344782601800,
0.555858715401929,
0.641058419842652,
0.720118656981704,
0.643948007732270,
0.138790608092353,
0.279264178231250,
0.993836948076485,
0.531967023876420,
0.964455754192395,
0.873171802181126,
0.937828816793698])
garch11 = arch_model(r, p=1, q=1)
res = garch11.fit(update_freq=10)
print "arch test >>>", res.summary()
def estimate_univ(self):
"""Estimate univariate volatility models.
"""
vol = []
forecast = []
theta = []
data = self.data.ret.copy()
for col in data:
model = arch_model(data[col], p=1, q=1, mean='Zero',
vol='GARCH', dist='Normal')
res = model.fit(disp='off')
theta.append(res.params)
vol.append(res.conditional_volatility)
forecast.append(garch_forecast(res).iloc[-1, 0])
theta = pd.concat(theta, axis=1)
theta.columns = data.columns
self.data.univ_vol = pd.concat(vol, axis=1)
self.data.univ_vol.columns = data.columns
self.param.univ = theta
self.data.univ_forecast = np.array(forecast)
def _addOne(self, _data_struct: DataStruct):
index = _data_struct.index()[0]
price = _data_struct[self.use_key][0]
if self.last_price is not None:
rate = math.log(price / self.last_price)
self.rate_buf.append(rate)
self.fit_count += 1
if self.fit_count > self.fit_period and \
len(self.rate_buf) >= self.fit_begin:
# retrain model and reset sigma2
rate_arr = np.array(self.rate_buf)
am = arch_model(rate_arr, mean='Zero')
res = am.fit(disp='off', show_warning=False)
# input(res.summary())
self.param = res.params.values
self.sigma2 = res.conditional_volatility[-1] ** 2
self.fit_count = 0
if self.param is not None:
estimate = math.sqrt(self.sigma2) * self.factor
self.sigma2 = self.param[0] + \
self.param[1] * rate * rate + \
self.param[2] * self.sigma2
predict = math.sqrt(self.sigma2)
predict *= self.factor
if self.smooth_period > 1 and len(self.data): # smooth
last_value = self.data[self.ret_key[1]][-1]
predict = (predict - last_value) / \
self.smooth_period + last_value
self.data.addDict({
self.idx_key: index,
self.ret_key[0]: estimate,
self.ret_key[1]: predict,
})
self.last_price = price
''' model selection '''
trainsize = 10 * 252 # 10 years
data = nasdaq_returns.clip(lower=nasdaq_returns.quantile(.05),
upper=nasdaq_returns.quantile(.95))
T = len(nasdaq_returns)
results = {}
for p in range(1, 5):
for q in range(1, 5):
print(f'{p} | {q}')
result = []
for s, t in enumerate(range(trainsize, T-1)):
train_set = data.iloc[s: t]
test_set = data.iloc[t+1] # 1-step ahead forecast
model = arch_model(y=train_set, p=p, q=q).fit(disp='off')
forecast = model.forecast(horizon=1)
mu = forecast.mean.iloc[-1, 0]
var = forecast.variance.iloc[-1, 0]
result.append([(test_set-mu)**2, var])
df = pd.DataFrame(result, columns=['y_true', 'y_pred'])
results[(p, q)] = np.sqrt(mean_squared_error(df.y_true, df.y_pred))
s = pd.Series(results)
s.index.names = ['p', 'q']
s = s.unstack().sort_index(ascending=False)
sns.heatmap(s, cmap='Blues', annot=True, fmt='.4f')
plt.title('Out-of-Sample RMSE')
plt.savefig(f'{str(iop)}Out-of-Sample RMSE.png')
def get_coefficient(ind):
# 读取数据
characteristic = []
df = data[ind]
df.index = pd.to_datetime(df.index) # 将字符串索引转换成时间索引
ts = df[index[ind]] # 生成pd.Series对象
t = sm.tsa.stattools.adfuller(ts) # ADF检验
#是否平稳
if t[1] <= 0.05:
characteristic.append('是')
else:
characteristic.append('否')
#计算AR滞后阶数
lagnum = sm.tsa.pacf(ts, nlags=20, method='ywunbiased', alpha=None)
n = len(lagnum)
lagsatis = []
aa = 1
for i in range(n):
if aa == 1:
if abs(lagnum[i]) > 0.05:
lagsatis.append(i)
else:
aa = aa * (-1) #取连续的大于0.05的阶数
else:
break
#建立AR(8)模型，即均值方程
lagnumber = lagsatis[-1] #AR的阶数
order = (lagnumber, 0)
model = sm.tsa.ARMA(ts, order).fit()
#计算残差及残差的平方
at = ts - model.fittedvalues
at2 = np.square(at)
# 我们检验25个自相关系数
m = 25
acf, q, p = sm.tsa.acf(at2, nlags=m, qstat=True) ## 计算自相关系数 及p-value
out = np.c_[range(1, 26), acf[1:], q, p]
output = pd.DataFrame(out, columns=['lag', "AC", "Q", "P-value"])
output = output.set_index('lag')
b = [x[3] for x in out] #读取p-value
#是否序列具有相关性，具有ARCH效应
s = 0
for i in range(5):
if b[i] > 0.05:
s = s + 1
if s == 0:
characteristic.append('是')
#建立ARCH模型
lagnum1 = sm.tsa.pacf(at2, nlags=20, method='ywunbiased',
alpha=None) #计算滞后阶数
#计算ARCH滞后阶数
n = len(lagnum1)
lagsatis1 = []
aa = 1
for i in range(n):
if aa == 1:
if abs(lagnum1[i]) > 0.05:
lagsatis1.append(i)
else:
aa = aa * (-1) #取连续的大于0.05的阶数
else:
break
pnumber = lagsatis1[-1] #ARCH的阶数
train = ts[:-10]
#建立ARCH模型
am = arch.arch_model(train,
mean='AR',
lags=lagnumber,
vol='ARCH',
p=pnumber)
res = am.fit()
res.summary() #回归拟合
arch_coefficient = res.params #取出系数
arch_tvalue = res.tvalues #取出t值
arch_final = pd.DataFrame({
'coefficient': arch_coefficient,
'tvalue': arch_tvalue
})
#建立GARCH模型
am = arch.arch_model(train, mean='AR', lags=lagnumber, vol='GARCH')
res1 = am.fit()
res.summary()
garch_coefficient = res1.params
garch_tvalue = res1.tvalues #取出t值
garch_final = pd.DataFrame({
'coefficient': garch_coefficient,
'tvalue': garch_tvalue
})
#建立EGARCH模型
am = arch.arch_model(train,
mean='AR',
lags=lagnumber,
vol='EGARCH',
p=1,
o=1,
q=1,
power=1.0)
res2 = am.fit()
res2.summary()
egarch_coefficient = res2.params
egarch_tvalue = res2.tvalues #取出t值
egarch_final = pd.DataFrame({
'coefficient': egarch_coefficient,
'tvalue': egarch_tvalue
})
else:
characteristic.append('否')
arch_final = pd.DataFrame()
garch_final = pd.DataFrame()
egarch_final = pd.DataFrame()
return characteristic, arch_final, garch_final, egarch_final
plt.subplot(212)
plt.plot(at2, label='at^2')
plt.legend(loc=0)
plt.show()
print("===检验残差时序自相关性及方差齐性")
print("Ljung-Box Test: H0---the error terms are mutually independent")
m = 10 # 检验10个自相关系数
acf, q, p = sm.tsa.acf(at2, nlags=m, qstat=True) ## 计算自相关系数 及p-value
out = np.c_[range(1, 11), acf[1:], q, p]
output = pd.DataFrame(out, columns=['lag', "AC", "Q", "P-value"])
output = output.set_index('lag')
print(output)
print("各阶p-值小于0.05")
print("拒绝原假设，残差平方有相关性，有ARCH效应")
print("===确定ARCH模型阶数")
fig = plt.figure(figsize=(20, 5))
ax1 = fig.add_subplot(111)
fig = sm.graphics.tsa.plot_pacf(at2, lags=15, ax=ax1)
plt.show()
print("===一阶PACF函数明显偏离置信域，取ARCH(1)模型")
print("===构建GARCH模型")
# 训练集
train = data[:-10]
# 测试集
test = data[-10:]
am = arch.arch_model(train, mean='AR', lags=1, vol='GARCH')
res = am.fit()
from matplotlib.pyplot import figure
import numpy as np
import seaborn as sns
from arch import arch_model
import arch.data.sp500
warnings.simplefilter("ignore")
sns.set_style("whitegrid")
sns.mpl.rcParams["figure.figsize"] = (12, 3)
data = arch.data.sp500.load()
market = data["Adj Close"]
returns = 100 * market.pct_change().dropna()
am = arch_model(returns)
res = am.fit(update_freq=5)
prop = matplotlib.font_manager.FontProperties("Roboto")
def _set_tight_x(axis, index):
try:
axis.set_xlim(index[0], index[-1])
except ValueError:
pass
fig = figure()
ax = fig.add_subplot(1, 1, 1)
vol = res.conditional_volatility
def apply_model(array):
model = arch_model(array, rescale=False)
return model
adf = ADF(mfon_df['<CLOSE>']) print(adf.summary().as_text()) mtss_returns = 100 * mtss_df['<CLOSE>'].pct_change().dropna() mfon_returns = 100 * mfon_df['<CLOSE>'].pct_change().dropna() mtss_rplt = mtss_returns.plot(title='MTSS dayly returns') mfon_rplt = mfon_returns.plot(title='MFON dayly returns') adf = ADF(mtss_returns) print(adf.summary().as_text()) adf = ADF(mfon_returns) print(adf.summary().as_text()) from arch import arch_model mtss_am = arch_model(mtss_returns) mtss_res = mtss_am.fit(update_freq=5, disp = 'off') mfon_am = arch_model(mfon_returns) mfon_res = mfon_am.fit(update_freq=5, disp = 'off') mfon_res.conditional_volatility mfon_vol = mfon_res.conditional_volatility * np.sqrt(252) mtss_res.conditional_volatility mtss_vol = mtss_res.conditional_volatility * np.sqrt(252) cm = ConstantMean(mtss_returns) res = cm.fit(update_freq=5) f_pvalue = het_arch(res.resid)[3] cm.volatility = GARCH(p=1, q=1)
from arch import arch_model
# !!! The arch package swtiches the meaning of p and q of the GARCH models
# compared to the notation on Wikipedia !!!
np.mean(np.square(residuals))
# the mean of the squared residuals is very close to zero, so the mean equation
# of the ARCH model can be omitted
# If we already have the residuals we can fit the ARCH only on that part by
# setting the mean equation to be a constant zero; let's see an ARCH(q=1) on
# the squared residuals
# (If we wanted to work with absolute residuals power=1 shoudl be used)
am1 = arch_model(residuals,
mean="Zero",
vol="ARCH",
p=1,
dist="Normal",
power=2.0)
res1 = am1.fit()
res1.plot()
res1.summary()
pylab.plot(np.square(residuals))
# previously we found from the PACF of the squared (and absolute) residuals
# that the lag should be 8
am2 = arch_model(residuals,
mean="Zero",
vol="ARCH",
p=8,
dist="Normal",
# -*- coding: utf-8 -*-
#https://pypi.python.org/pypi/arch
#conda install -c https://conda.binstar.org/bashtage arch
import pandas as pd
import numpy as np
import matplotlib.pylab as plt
from arch import arch_model
r = np.array([
0.945532630498276, 0.614772790142383, 0.834417758890680, 0.862344782601800,
0.555858715401929, 0.641058419842652, 0.720118656981704, 0.643948007732270,
0.138790608092353, 0.279264178231250, 0.993836948076485, 0.531967023876420,
0.964455754192395, 0.873171802181126, 0.937828816793698
])
garch11 = arch_model(r, p=1, q=1)
res = garch11.fit(update_freq=10)
print(res.summary())
import pandas as pd
import pandas.io.data as web
from arch import arch_model
start = '1971-01-04'
# data['Adj Close'].head().pct_change().dropna()
jpy = web.DataReader('DEXJPUS', 'fred', start=start)
print(jpy['DEXJPUS'].head().pct_change().dropna())
print("*" * 60)
ret = jpy['DEXJPUS'].pct_change().dropna()
## GARCH(1, 1)
am = arch_model(ret)
res = am.fit(update_freq=5)
print(res.summary())
print("*" * 60)
## GJR-GARCH
start = '2010-01-01'
jpy = web.DataReader('DEXJPUS', 'fred', start=start)
ret = jpy['DEXJPUS'].pct_change().dropna()
gjr_am = arch_model(ret, p=1, o=1, q=1)
res = gjr_am.fit(update_freq=5, disp='off')
print(res.summary())
print("*" * 60)
linestyle='--')
plt.show()
##############################
### GARCH MODELING PORTION ###
##############################
# GARCH FIXED ROLLING WINDOW (21d)
start_loc = 0
window_size = 21
end_loc = window_size
steps = 30
forecasts = {}
model = arch_model(spy_raw_data['adj_close_1vol'],
vol='GARCH',
p=1,
q=1,
rescale=False)
model_fit = model.fit()
for i in range(len(spy_raw_data) - window_size):
model_result = model.fit(first_obs=i + start_loc,
last_obs=i + end_loc,
disp='off')
temp_result = model_result.forecast(horizon=1).variance
fcast = temp_result.iloc[i + end_loc]
forecasts[fcast.name] = fcast
forecast_var = pd.DataFrame(forecasts).T
forecast_vol = np.sqrt(forecast_var)
plt.plot(forecast_vol, color='red', label='Forecast', alpha=0.5)
plt.plot(spy_raw_data['adj_close_1vol'][window_size:],
color='green',
# 2) Create tests for other assumptions to choose what is going to be in disrtibution. ()
def stationary_test(data):
fuller = adf.adfuller(data, autolag='AIC')
kpss = adf.kpss(data, regression='ct', nlags='auto')
if (fuller[0] < fuller[4]['5%']) and (kpss[0] < kpss[3]['5%']):
return int(1)
else:
return int(0)
stationarity_res = stationary_test(x)
arch_m = arch_model(x, vol='GARCH', p=1, q=1, dist='Normal')
garch = arch_m.fit(disp='off')
garch_volatility = np.sqrt(garch.params['omega'] +
garch.params['alpha[1]'] * garch.resid**2 +
garch.conditional_volatility**2 *
garch.params['beta[1]'])
longterm_volty = np.sqrt(
garch.params['omega'] /
(1 - garch.params['alpha[1]'] - garch.params['beta[1]']))
volty_df = yz_volatility
volty_df['garch_volty'] = garch_volatility
volty_df['longterm_volty'] = longterm_volty
volty_df.plot()
plt.figure(figsize=(16, 6))
ljb_archb = sm.stats.acorr_ljungbox(bonds_resid**2, lags=4, return_df=True)
result_lm = pd.DataFrame(
[[lmtest_s, lmtest_b], [1 - pval_slm[0], 1 - pval_slm[1]], [cv_lm, cv_lm],
[ljb_archs.iloc[-1, 0], ljb_archb.iloc[-1, 0]],
[ljb_archs.iloc[-1, 1], ljb_archb.iloc[-1, 1]]],
index=['tstat', 'pval', 'cv_lm', 'LJB 4 lags', 'pval'],
columns=['Stock', 'Bonds'])
result_lm.to_excel('result_lm.xlsx')
# Q3d estimate parameter of the GARCH process
am_s = arch_model(stock_resid,
mean='Zero',
vol='GARCH',
p=1,
q=1,
dist='normal',
power=2,
rescale=False)
garch_s = am_s.fit()
print(garch_s.summary())
garch_s_forecast = garch_s.forecast(horizon=252)
am_b = arch_model(bonds_resid,
mean="Zero",
vol='GARCH',
p=1,
q=1,
dist='normal',
power=2,
rescale=False)
def get_best_model(logRtSeries, pLimit, oLimit, qLimit, predictDays):
best_bic = np.inf
best_order = None
best_mdl = None
best_numParams = np.inf
isZeroMean = False
for pValue in range(pLimit + 1):
for oValue in range(oLimit + 1):
for qValue in range(qLimit + 1):
isZeroMean = False
try:
tmp_mdl = arch_model(y = logRtSeries,
p = pValue,
o = oValue,
q = qValue,
dist = 'Normal')
tmp_res = tmp_mdl.fit(update_freq=5, disp='off')
# Remove mean if it's not significant
if tmp_res.pvalues['mu'] > 0.05:
isZeroMean = True
tmp_mdl = arch_model(y = logRtSeries,
mean = 'Zero',
p = pValue,
o = oValue,
q = qValue,
dist = 'Normal')
tmp_res = tmp_mdl.fit(update_freq=5, disp='off')
tmp_bic = tmp_res.bic
tmp_numParams = tmp_res.num_params
tmp_wn_test = tmp_res.resid / tmp_res._volatility
[lbvalue, pvalue] = acorr_ljungbox(tmp_wn_test, lags = 20)
# Make sure the model pass Ljunbox Test, and fit the time series
if pvalue[19] >= 0.05:
if best_bic / tmp_bic > 1.05:
best_bic = tmp_bic
best_order = [pValue, oValue, qValue]
best_mdl = tmp_res
# Choose simpler model
elif tmp_bic <= best_bic and tmp_numParams <= best_numParams:
best_bic = tmp_bic
best_order = [pValue, oValue, qValue]
best_mdl = tmp_res
except:
continue
# Handle situations when all models don't pass Ljunbox Test
if (best_mdl == None):
tmp_mdl = arch_model(y = logRtSeries,
p = 1,
o = 1,
q = 1,
dist = 'Normal')
best_mdl = tmp_mdl.fit(update_freq=5, disp='off')
# Remove mean if it's not significant
if best_mdl.pvalues['mu'] > 0.05:
isZeroMean = True
tmp_mdl = arch_model(y = logRtSeries,
mean = 'Zero',
p = 1,
o = 1,
q = 1,
dist = 'Normal')
best_mdl = tmp_mdl.fit(update_freq=5, disp='off')
best_bic = best_mdl.bic
best_order = [1, 1, 1]
# Test for first 20-lag
wn_test = best_mdl.resid / best_mdl._volatility
[lbvalue, pvalue] = acorr_ljungbox(wn_test, lags = 20)
output = {}
output['Zero Mean Model'] = isZeroMean
output['Best BIC'] = best_bic
output['Best Order'] = best_order
output['Best Model'] = best_mdl
volForecasts = best_mdl.forecast(horizon=predictDays)
output['Vol Predictions'] = np.sqrt(volForecasts.residual_variance.iloc[-1].values)
output['Ljunbox Test Statistics'] = lbvalue[19]
output['Ljunbox Test pvalue'] = pvalue[19]
return output
from TorchTSA.model import IGARCHModel, ARMAGARCHModel
from arch import arch_model
from ParadoxTrading.Chart import Wizard
from ParadoxTrading.Fetch.ChineseFutures import FetchDominantIndex
from ParadoxTrading.Indicator import LogReturn
from ParadoxTrading.Indicator.TSA import GARCH
fetcher = FetchDominantIndex()
market = fetcher.fetchDayData('20100701', '20180101', 'cu')
returns = LogReturn().addMany(market).getAllData()
return_arr = np.array(returns['logreturn'])
am = arch_model(return_arr, mean='Zero')
start_time = time.time()
res = am.fit(disp='off', show_warning=False)
print('fitting time:', time.time() - start_time)
print(res.params)
igarch_model = IGARCHModel(_use_mu=False)
start_time = time.time()
igarch_model.fit(return_arr)
print('fitting time:', time.time() - start_time)
print(
igarch_model.getAlphas(),
igarch_model.getBetas(),
igarch_model.getConst(),
)
import datetime as dt
import sys
import numpy as np
import pandas as pd
import pandas_datareader.data as web
import matplotlib.pyplot as plt
from arch import arch_model
start = dt.datetime(2015,1,1)
end = dt.datetime(2018,1,1)
sp500 = web.DataReader('SPY','iex', start=start, end=end)
returns = 100 * sp500['close'].pct_change().dropna()
returns.plot()
plt.show()
from arch import arch_model
model=arch_model(returns, vol='Garch', p=1, o=0, q=1, dist='Normal')
results=model.fit()
print(results.summary())
forecasts = results.forecast(horizon=30, method='simulation', simulations=1000)
sims = forecasts.simulations
print(np.percentile(sims.values[-1,:,-1].T,5))
plt.hist(sims.values[-1, :,-1],bins=50)
plt.title('Distribution of Returns')
plt.show()
def GARCH_predictioninterval(endog_train,
endog_val,
forecast_horizon,
periodicity=1,
mean_forecast=None,
p=1,
q=1,
alpha=1.96,
limit_steps=False):
"""
Calculate the prediction interval for the given forecasts using the GARCH method https://github.com/bashtage/arch
Parameters
----------
endog_train : pandas.DataFrame
Training set of target variable
endog_val : pandas.DataFrame
Validation set of target variable
forecast_horizon : int
Number of future steps to be forecasted
periodicity : int or int list
Either a scalar integer value indicating lag length or a list of integers specifying lag locations.
mean_forecast : numpy.ndarray, default = None
Previously forecasted expected values (e.g. the sarimax mean forecast). If set to None,
the mean values of the GARCH forecast are used instead.
p : int
Lag order of the symmetric innovation
q : int
Lag order of lagged volatility or equivalent
alpha : float, default = 1.96
Measure to adjust confidence interval. Default is set to 1.96, which equals to 95% confidence
limit_steps : int, default = False
Limits the number of simulation/predictions into the future. If False, steps is equal to length of validation set
Returns
-------
pandas.Series
The forecasted expected values
pandas.Series
The upper interval for the given forecasts
pandas.Series
The lower interval for the given forecasts
"""
print(
'Train a General autoregressive conditional heteroeskedasticity (GARCH) model...'
)
test_period = range(endog_val.shape[0])
num_cores = max(multiprocessing.cpu_count() - 2, 1)
if limit_steps:
test_period = range(limit_steps)
model_garch = arch_model(endog_train,
vol='GARCH',
mean='LS',
lags=periodicity,
p=p,
q=q) #(endog_val[1:]
res = model_garch.fit(update_freq=5)
# do stepwise iteration and prolongation of the train data again, as a forecast can only work in-sample
def garch_PI_predict(i):
# extend the train-series with observed values as we move forward in the prediction horizon
# to achieve a receding window prediction
y_train_i = pd.concat([endog_train, endog_val.iloc[0:i]])
#need to refit, since forecast cannot do out of sample forecasts
model_garch = arch_model(y_train_i,
vol='GARCH',
mean='LS',
lags=periodicity,
p=p,
q=q)
res = model_garch.fit(update_freq=20)
forecast = model_garch.forecast(
res.params,
horizon=forecast_horizon) # , start=endog_train.index[-1]
#TODO: checkout that mean[0] might be NAN because it starts at start -2
# TODO: could try to use the previously calculated sarimax mean forecast instead...
if isinstance(mean_forecast, np.ndarray):
expected_value = pd.Series(mean_forecast[i])
else:
expected_value = pd.Series(forecast.mean.iloc[-1])
sigma = pd.Series([
math.sqrt(number) for number in forecast.residual_variance.iloc[-1]
])
expected_value.index = endog_val.index[
i:i +
forecast_horizon] #this can be an issue if we reach the end of endog val with i
sigma.index = endog_val.index[i:i + forecast_horizon]
sigma_hn = sum(sigma) / len(sigma)
fc_u = expected_value + alpha * sigma
fc_l = expected_value - alpha * sigma
print('Training and validating GARCH model completed.')
return expected_value, fc_u, fc_l
expected_value, fc_u, fc_l = zip(
*Parallel(n_jobs=min(num_cores, len(test_period)),
mmap_mode='c',
temp_folder='/tmp')(
delayed(garch_PI_predict)(i) for i in test_period
if i + forecast_horizon <= endog_val.shape[0]))
print('Training and validating GARCH model completed.')
return np.asarray(expected_value), np.asarray(fc_u), np.asarray(fc_l)
# Fit with ARMA-GARCH model
# ARMA
from statsmodels.tsa.arima_model import ARIMA
model_arma = ARIMA(ts_data, order=(1, 0, 1))
results_arma = model_arma.fit(disp=-1)
residule_arma = results_arma.resid
print(results_arma.summary())
# GARCH
from arch import arch_model
arch = arch_model(residule_arma,p = 1,q = 1)
res_arch = arch.fit(update_freq=5)
print(res_arch.summary())
# change to normal innovations
np.random.seed(1)
n_samples = 10000
# Use student t
z = np.random.standard_t(20,size=n_samples)
x = np.ones((n_samples,))
x[0] = 0
s = np.ones((n_samples,))
def __implement_GARCH_1_1(self):
self.__model = arch_model(self.__returns,
vol='Garch',
p=1,
q=1,
dist='Normal')
print('ADF Statistic: %f' % adfuller[0])
print('p-value: %f' % adfuller[1])
print('Critical Values:')
for key, value in adfuller[4].items():
print('\t%s: %.3f' % (key, value))
#p-val of 0 (lol) so reject H0: unit root, ie. log returns is stationary. Can therefore fit GARCH model.
# Split data into train/test for X-value
horizon = 7
train, test = diff_log_returns[:-horizon], diff_log_returns[-horizon:]
#Fit a GARCH(1,1) model to the data (adding in p,q=17 as motivated by ACF acc leads to higher AIC, so use more parsimonious model). Make the assumption that differenced log returns follow a normal dist.
garch_model_one = arch_model(train,
mean='Constant',
vol="Garch",
p=1,
o=0,
q=1,
dist="Normal")
output_one = garch_model_one.fit()
print(output_one.summary())
"""
We note here that the output has the following interpretation:
omega: baseline variance
alpha: MA term for yesterday on error^s ie. weighted white noise
beta: effect of yesterdays vol on today's vol
mu: expected return
"""
#Now, forecast variance for final week of dataset.
sgt.plot_acf(df3['sqd_returns'][1:],lags=40,zero=False)
plt.xlabel('Lags')
plt.ylabel('ACF')
plt.title("ACF Squared Returns")
# In[77]:
from arch import arch_model
# In[79]:
model_arch_1 = arch_model(df3['returns'][1:])
results_arch_1 = model_arch_1.fit()
results_arch_1.summary()
# In[80]:
# Mean Model = Constant --> Mean is contant rather than moving which is the property of the stationary data
# Vol Model = GARCH ---> It is using GARCH model to model the variance
# Dd Model = four variables are calculated
# Mean Model:
# coeff of mean in the equation
# higher t value and p <0.05 determines significance of coefficient
# Volatiliy Model:
# omega is alpha 0
def get_inst_vol(y,
annualize,
x = None,
mean = 'Constant',
vol = 'Garch',
dist = 'normal',
data = 'prices',
freq = 'd',
):
"""Fn: to calculate conditional volatility of an array using Garch:
params
--------------
y : {numpy array, series, None}
endogenous array of returns
x : {numpy array, series, None}
exogneous
mean : str, optional
Name of the mean model. Currently supported options are: 'Constant',
'Zero', 'ARX' and 'HARX'
vol : str, optional
model, currently supported, 'GARCH' (default), 'EGARCH', 'ARCH' and 'HARCH'
dist : str, optional
'normal' (default), 't', 'ged'
returns
----------
series of conditioanl volatility.
"""
if (data == 'prices') or (data =='price'):
y = get_rets(y, kind = 'arth', freq = freq)
if isinstance(y, pd.core.series.Series):
## remove nan.
y = y.dropna()
else:
raise TypeError('Data should be time series with index as DateTime')
# provide a model
model = arch.arch_model(y * 100, mean = 'constant', vol = 'Garch')
# fit the model
res = model.fit(update_freq= 5)
# get the parameters. Here [1] means number of lags. This is only Garch(1,1)
omega = res.params['omega']
alpha = res.params['alpha[1]']
beta = res.params['beta[1]']
inst_vol = res.conditional_volatility * np.sqrt(252)
if isinstance(inst_vol, pd.core.series.Series):
inst_vol.name = y.name
elif isinstance(inst_vol, np.ndarray):
inst_vol = inst_vol
# more interested in conditional vol
if annualize.lower() == 'd':
ann_cond_vol = res.conditional_volatility * np.sqrt(252)
elif annualize.lower() == 'm':
ann_cond_vol = res.conditional_volatility * np.sqrt(12)
elif annualize.lower() == 'w':
ann_cond_vol = res.conditional_volatility * np.sqrt(52)
return ann_cond_vol * 0.01
def model_predict(trend_arima_fit, residual_arima_fit, trend_garch_order,
residual_garch_order, trend, residual, seasonal,
trend_diff_counts, residual_diff_counts, if_pred, start, end,
period):
"""
trend_arima_fit: ARIMA model after fit the trend.
residual_arima_fit: ARIMA model after fit the residual.
trend_garch_order: best parameters for GARCH model after fit the trend_arima_fit.resid.
residual_garch_order: best parameters for GARCH model after fit the residual_arima_fit.resid.
trend: time series of trend.
residual: time series of residual.
seasonal: time series of seasonal.
trend_diff_counts: int value indicating counts of diff for trend.
residual_diff_counts: int values indicating counts of diff for residual.
if_pred: boolen value indicating whether to predict or not. True presents predict, False means fit.
start: string value indicating start date.
end: string value indicating end date.
period: int value indicating the period of seasonal.
return predicted sequence.
"""
if if_pred:
# get the first date after the last date in train.
date_after_train = str(trend.index.tolist()[-1] +
relativedelta(days=1))
# get the trend predicted sequence from the start of start to end
trend_pred_seq = np.array(
trend_arima_fit.predict(start=date_after_train,
end=end,
dynamic=True)
) # The dynamic keyword affects in-sample prediction.
# get the residual predicted sequence from the start of start to end
residual_pred_seq = np.array(
residual_arima_fit.predict(start=date_after_train,
end=end,
dynamic=True))
# find the the corresponding seasonal sequence.
pred_period = (datetime.datetime.strptime(end, '%Y-%m-%d %H:%M:%S') -
datetime.datetime.strptime(
date_after_train, '%Y-%m-%d %H:%M:%S')).days + 1
trend_pred_variance, residual_pred_variance = np.zeros(
pred_period), np.zeros(pred_period)
current_trend_resid, current_residual_resid = trend_arima_fit.resid, residual_arima_fit.resid
for i in range(pred_period):
trend_model = arch_model(current_trend_resid,
mean="Constant",
p=trend_garch_order[0],
q=trend_garch_order[1],
vol='GARCH')
trend_model_fit = trend_model.fit(disp="off",
update_freq=0,
show_warning=False)
trend_pred_variance[i] = np.sqrt(
trend_model_fit.forecast(horizon=1).variance.values[-1, :][0]
) + trend_model_fit.forecast(horizon=1).mean.values[-1, :][0]
current_trend_resid.append(
pd.DataFrame.from_dict(
{
current_trend_resid.index.tolist()[-1] + relativedelta(days=1):
trend_pred_variance[i]
},
orient="index"))
residual_model = arch_model(current_residual_resid,
mean="Constant",
p=residual_garch_order[0],
q=residual_garch_order[1],
vol='GARCH')
residual_model_fit = residual_model.fit(disp="off",
update_freq=0,
show_warning=False)
residual_pred_variance[i] = np.sqrt(
residual_model_fit.forecast(horizon=1).variance.values[-1, :]
[0]) + residual_model_fit.forecast(
horizon=1).mean.values[-1, :][0]
current_residual_resid.append(
pd.DataFrame.from_dict(
{
current_residual_resid.index.tolist()[-1] + relativedelta(days=1):
residual_pred_variance[i]
},
orient="index"))
trend_pred_seq = trend_pred_seq + trend_pred_variance
residual_pred_seq = residual_pred_seq + residual_pred_variance
trend_pred_seq = np.array(
np.concatenate((np.array(trend.diff(trend_diff_counts).fillna(0)),
trend_pred_seq)))
residual_pred_seq = np.array(
np.concatenate(
(np.array(residual.diff(residual_diff_counts).fillna(0)),
residual_pred_seq)))
seasonal_pred_seq = list(seasonal[len(seasonal) - period:]) * (round(
(pred_period) / period) + 1)
seasonal_pred_seq = np.array(seasonal_pred_seq[0:pred_period])
else:
trend_pred_seq = np.array(trend_arima_fit.fittedvalues)
residual_pred_seq = np.array(residual_arima_fit.fittedvalues)
seasonal_pred_seq = np.array(seasonal)
while trend_diff_counts > 0 or residual_diff_counts > 0:
if trend_diff_counts > 0:
trend_pred_seq.cumsum()
trend_diff_counts -= 1
if trend_diff_counts == 0:
trend_pred_seq = trend_pred_seq + trend[0]
if residual_diff_counts > 0:
residual_pred_seq.cumsum()
residual_diff_counts -= 1
if residual_diff_counts == 0:
residual_pred_seq = residual_pred_seq + residual[0]
if if_pred:
pred_period = (
datetime.datetime.strptime(end, '%Y-%m-%d %H:%M:%S') -
datetime.datetime.strptime(start, '%Y-%m-%d %H:%M:%S')).days + 1
return trend_pred_seq[len(trend_pred_seq)-pred_period:] + \
residual_pred_seq[len(residual_pred_seq)-pred_period:] + \
seasonal_pred_seq[len(seasonal_pred_seq)- pred_period:]
else:
return trend_pred_seq + residual_pred_seq + seasonal_pred_seq
# initialize an array for standard deviation variables
nStocks = returnStocks.shape[1]
stdPredictions = np.zeros(nStocks)
# run the regression over all variables
for index, stk in enumerate(returnVariables.columns):
# create the garch model
returnStock = returnDailyStocks.iloc[:, index].dropna()
garchModel = arch_model(returnStock)
# fit the garch model
fitGarch = garchModel.fit(disp='off')
# grab the forecasted standard deviation each day for the next 20 days
stdGarchVals = np.sqrt(fitGarch.forecast(horizon=22).variance).iloc[-1, :]
# convert the standard deviation to monthly standard deviation
stdGarch = stdGarchVals.mean() * np.sqrt(22)
# append to the array
order[1]=d
order[2]=j
except (ValueError,np.linalg.linalg.LinAlgError) as e:
pass
print AIC
print order
"""
order = [4, 0, 1]
model2 = ARIMA(y, order=(order[0], order[1], order[2]))
model2_fit = model2.fit(disp=0)
res = model2_fit.resid
garch11 = arch_model(res, p=1, q=1)
garch11_fit = garch11.fit(disp=0)
gres = garch11_fit.resid
omega = garch11_fit.params['omega']
alpha1 = garch11_fit.params['alpha[1]']
beta1 = garch11_fit.params['beta[1]']
cond_vol = garch11_fit.conditional_volatility[-1]
forecast_vol = np.sqrt(omega + alpha1 * gres[-1]**2 + beta1 * cond_vol**2)
pred2 = model2_fit.predict(start=0, end=0, dynamic=False)
print forecast_vol
#gredict=garch11_fit.forecast(start=len(y)-3,horizon=3, method='analytic')
#gr1=gredict.mean['h.01'].iloc[-1]
X_test.head()
# %%
sts.adfuller(X_train.icici)
# %%
sgt.plot_acf(X_train.icici, lags=40, zero=False)
plt.title("ACF ICICI")
sgt.plot_pacf(X_train.icici, lags=40, zero=False)
plt.title("PACF ICICI")
plt.show()
# %%
model = auto_arima(X_train.icici, exogeneous=df_ret[["nsebank"]])
model.summary()
# %%
model1 = arch_model(df_ret.icici,
mean="constant",
vol="GARCH",
p=1,
q=1,
dist="Normal")
results1 = model1.fit(last_obs=start_date, update_freq=10)
results1.summary()
# %%
pred_garch = results1.forecast(horizon=1, align="target")
pred_garch.residual_variance[start_date:].plot(zorder=2)
X_test.icici.abs().plot(zorder=1)
plt.show()
# %%
pred_garch = results1.forecast(horizon=100, align="target")
pred_100 = pred_garch.residual_variance[-30:]
# %%
pred_100.mean().T.plot()
def get_arch(TS, upper_=6): par = _get_best_model(TS, upper_=upper_) best_order = par[1] am = arch_model(TS, p=best_order[0], o=best_order[1], q=best_order[2], dist='StudentsT') res = am.fit(update_freq=5, disp='off') return res
def model_forecast(ret_train) :
ret_train_1 = ret_train
ret_mdl = arch_model(ret_train_1*100, p = 1, q = 1, o = 1, dist='skewt').fit(update_freq=1)
forecasts = ret_mdl.forecast()
return forecasts.mean.dropna(), forecasts.variance.dropna(), forecasts.residual_variance.dropna()
from sklearn import tree
import csv
with open('EURUSD240.csv', 'r') as csvfile:
spamreader = list(csv.reader(csvfile))
print(spamreader[0])
from arch import arch_model
am = arch_model(returns)
res = am.fit(update_freq=5)
print(res.summary())
[array([ 0.06169621]),
array([-0.05147406]),
array([ 0.04445121]),
array([-0.01159501]),
array([-0.03638469]),
array([-0.04069594]),
array([-0.04716281]),
array([-0.00189471]),
array([ 0.06169621]),
array([ 0.03906215])]
151.0, 75.0, 141.0, 206.0, 135.0, 97.0, 138.0, 63.0, 110.0, 310.0
fig_ecart.add_trace(go.Scatter(x = dt["dates"], y=dt["high_to_median"], name='ecart à la mediane high',
line=dict(color='royalblue', width=1)))
fig_ecart.add_trace(go.Scatter(x = dt["dates"], y=dt["low_to_median"], name='ecart à la mediane low',
line=dict(color='black', width=1)))
fig_ecart.add_trace(go.Scatter(x = dt["dates"], y=dt["close_to_median"], name='ecart à la mediane close',
line=dict(color='magenta', width=1)))
fig_ecart.write_html("C://Users//shade//OneDrive//Documents//M2_TIDE//Algorithmique_et_Python//Projet_S1//ecart_mediane.html", auto_open = True)
model = arch_model(train, mean='Zero', vol='ARCH', p=1)
model_fit = model.fit()
print(model_fit.summary())
dt.loc[1:, "open_diff1"].mean()
fig_diff = go.Figure()
fig_diff.add_trace(go.Scatter(x = dt["dates"], y=dt["open_diff1"], name='Variation open_high',
line=dict(color='firebrick', width=1)))
fig_diff.write_html("tx_open_prices.html", auto_open = True)
from arch import arch_model
start = '1971-01-04'
# data['Adj Close'].head().pct_change().dropna()
jpy = web.DataReader('DEXJPUS', 'fred', start=start)
print(jpy['DEXJPUS'].head().pct_change().dropna())
print("*"*60)
ret = jpy['DEXJPUS'].pct_change().dropna()
## GARCH(1, 1)
am = arch_model(ret)
res = am.fit(update_freq=5)
print(res.summary())
print("*"*60)
## GJR-GARCH
start = '2010-01-01'
jpy = web.DataReader('DEXJPUS', 'fred', start=start)
ret = jpy['DEXJPUS'].pct_change().dropna()
gjr_am = arch_model(ret, p=1, o=1, q=1)
res = gjr_am.fit(update_freq=5, disp='off')
print(res.summary())
print("*"*60)
for i in range(len(data) - window):
gam11 = arch_model(data[i:i + window], p=1, q=1)
resg11 = gam11.fit()
yhat = resg11.forecast(horizon=1)
empty.append(yhat.variance.values[-1, :])
return empty
vol_forecast = roll_garch(roll_month_ret, window)
vol_forecast = pd.DataFrame(vol_forecast, index=roll_month_ret[window:].index)
#%%
am = arch_model(roll_month_ret * 100,
vol='Garch',
p=1,
o=0,
q=1,
dist='Normal')
index = roll_month_ret.index
start_loc = 0
window = 40
forecasts = pd.DataFrame()
for i in range(len(roll_month_ret) - window):
sys.stdout.write('.')
sys.stdout.flush()
res = am.fit(first_obs=i, last_obs=i + window, disp='off')
temp = res.forecast(horizon=1).variance
fcast = temp.iloc[i + window - 1] #.values
# forecasts[fcast.name] = fcast
forecasts_ = fcast
forecasts = pd.concat([forecasts, forecasts_], axis=1)
mm, sea, remn = remainderizer(pun)
arma = statsmodels.api.tsa.ARMA(remn.values.ravel(), (1,0)).fit()
resid = remn.values.ravel() - arma.predict()
pred = arma.predict(start = ts.size, end = ts.size)
forecasted = mm[-1] + sea[str(month)+'_mean'].ix[dow[dt.weekday()]] + pred
#### sampled sigma is a bit overestimated
sigma_hat = np.std(pun.ix[pun.index.month == 10] - mm[-1]) + sea[str(month)+'_std'].ix[dow[dt.weekday()]] + np.std(resid)
return (forecasted - 2*sigma_hat, forecasted - sigma_hat, forecasted, forecasted + sigma_hat, forecasted + 2*sigma_hat)
###############################################################################
Forecast_(pun, 2016, 10, 26)
Forecast_(pun, 2016, 10, 27)
import arch
arch_model = arch.arch_model(remn, mean = 'AR', vol='garch', p=1, q=1).fit()
arch_model.summary()
plt.figure()
arch_model.plot()
arch_model.params
arch_model.rsquared
np.mean(arch_model.resid)
arch_model.conditional_volatility
arch_model.hedgehog_plot(horizon = 40, step = 40)
arch_model.forecast()
fitted = remn + arch_model.resid
plt.figure()
plt.plot(fitted, color = 'black')
alpha_1_hat = est_results_vol.params[1] # Extract parameter alpha_1_hat resid_squ[0:5] # Robustness Check: 'arch' package # Estimation via joint (!) likelihood # #?arch_model model_arch_package = arch_model(returns, mean='ARX', lags=1, vol='ARCH', p=1) results_arch_package = model_arch_package.fit() arch_package_vol = results_arch_package.conditional_volatility # TODO: Comparison with squared returns # es50_id_sub.loc[2:n, 'volatility_arch_2pass'] = arch_vol es50_id_sub.loc[1:n, 'volatility_arch_package'] = arch_package_vol es50_id_sub.head() es50_id_sub[['volatility_arch_2pass', 'volatility_arch_package']].plot( subplots = True )
from statsmodels.tsa import stattools
import matplotlib.pyplot as plt
import numpy as np
from arch import arch_model
indexRet = pd.read_csv('index.csv', sep='\t')
indexRet.index = pd.to_datetime(indexRet.Date)
indexRet.head()
np.unique(indexRet.CoName)
taiexRet = indexRet.loc[indexRet.CoName == 'TSE Taiex '].ROI
taiexRet.head()
taiexRet.tail()
taiexRet = taiexRet.astype(np.float).dropna()
#繪制收益率平方序列圖
plt.subplot(211)
plt.plot(taiexRet**2)
plt.xticks([])
plt.title('Squared Daily Return of taiex')
plt.subplot(212)
plt.plot(np.abs(taiexRet))
plt.title('Absolute Daily Return of taiex')
LjungBox = stattools.q_stat(stattools.acf(taiexRet**2)[1:13], len(taiexRet))
LjungBox[1][-1]
am = arch_model(taiexRet)
model = am.fit(update_freq=0)
print(model.summary())
color='k')
# # Modelling GARCH model
#
# $$\text{Mean equation:}$$
# $$r_{t}=\mu + \epsilon_{t}$$
#
# $$\text{Volatility equation:}$$
# $$\sigma^{2}_{t}= \omega + \alpha \epsilon^{2}_{t} + \beta\sigma^{2}_{t-1}$$
#
# $$\text{Volatility equation:}$$
#
# $$\epsilon_{t}= \sigma_{t} e_{t}$$
#
# $$e_{t} \sim N(0,1)$$
#
# In[43]:
am = arch_model(daily_return, p=1, o=0, q=1)
res = am.fit(update_freq=1)
print(res.summary())
# # Checking the residual
# In[37]:
fig = res.plot(annualize='D')
# In[ ]:
