Garch Models, Volatility Forecasting, Financial Modeling, Time Series Analysis, Python.
disp='off') forecast = res_oos.forecast(start=train_data.index[-1], horizon=len(test_data)) # Calculate out-of-sample forecast error forecast_vol = forecast.residual_variance.iloc[-1, :] error = (test_data['log_return'] - forecast_vol).dropna() return aic, bic, backtest, error # Evaluate the GARCH