garch_volatility¶

Defined in fynance.features.garch

garch_volatility(returns, refit=None, min_train=250)[source]

Causal GARCH(1,1) conditional-volatility feature.

Fits a GARCH(1,1) on a training prefix and forward-filters the conditional volatility \(\sigma_t\) over the whole series. The first min_train values are NaN (the warmup whose parameters would be in-sample).

Parameters:

returnsarray-like: One-dimensional return series.
refitint, optional: Refit the parameters on the expanding window every refit steps (each block uses parameters fit strictly on its own past). If None (default), the parameters are fit once on returns[:min_train].
min_trainint, optional: Length of the initial training prefix; values before it are NaN. Default 250.

Returns:

numpy.ndarray: Conditional volatility \(\sigma_t\), same length as returns, NaN on the warmup.

Examples

>>> import numpy as np
>>> rng = np.random.default_rng(0)
>>> r = rng.standard_normal(400) * 0.01
>>> sigma = garch_volatility(r, min_train=200)
>>> sigma.shape
(400,)
>>> bool(np.all(np.isnan(sigma[:200])))
True
>>> bool(np.all(sigma[200:] >= 0))
True