Garch Models, Volatility Forecasting, Financial Modeling, Time Series Analysis, Python.
res.conditional_volatility res_t = residuals / res.conditional_volatility backtest = (res_t**2).sum() # Out-of-sample testing data_length = len(data) train_size = int(0.8 * data_length) train_data = data[:train_size] test_data = data[train_size:] res_oos = am.fit(last_obs=train_data.index[-1],