volatility forecast in comparison with realized volatility
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Assessment
- Difficulty
- 3/5
- Estimated time
- 1-2 days
- Newbie friendliness
- 20/100
- Issue type
- Bug
- Clarity
- Needs clarification
- Activity status
- Stale
- Tech stack
- python
- Domain
- fintech-quant
Research direction
Start by reading the result.forecast call and how realized_volatility(n_period=30) is calculated; the issue names no source files or tests. Check whether the forecast and realized-volatility series use comparable horizons and aligned dates. Done means explaining the drift based on the supplied example; this issue has had no recent activity.
Written by the indexing model from the issue text.
Description
I'm trying to model returns with an ARIMA-GARCH. when I compare one step forecasts for 30 days (of test set) with realized volatility, I find there is a drift between two line-plot:
frcst = result.forecast(horizon=1, start=splitDate, method="simulation", simulations=30 *50)
frcst_variance=frcst.variance .squeeze()
realized_volatility= realized_volatility(n_period=30)
fig, ax = plt.subplots(figsize= (12,6))
ax.plot(np.sqrt(frcst_variance.sort_index()), "red" ,realized_volatility.sort_index(), "blue",linewidth =0.5)
it sounds the forecast is accurate unless the drift which has occurred. why this has occurred?
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- Python
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