Garch Models, Volatility Forecasting, Financial Modeling, Time Series Analysis, Python.
function for model evaluation def evaluate_model(data): # Fit GARCH model am = arch_model(data['log_return'], mean='Zero', vol='Garch', p=1, q=1, rescale=True) res = am.fit(disp='off') # Calculate AIC and BIC aic = res.aic bic = res.bic # Perform backtesting residuals = data['log_return'] -