arch检验python_【量化笔记】ARCH效应检验及GARCH建模的python实现

ARCH效应检验

import pandas as pd

SHret=pd.read_table('TRD_IndexSum.txt', index_col='Trddt', sep='\t')

/Users/yaochenli/anaconda3/lib/python3.7/site-packages/ipykernel_launcher.py:1: FutureWarning: read_table is deprecated, use read_csv instead.

"""Entry point for launching an IPython kernel.

SHret.index=pd.to_datetime(SHret.index)

SHret.head()

Retindex

Trddt

2009-01-05

0.032904

2009-01-06

0.030004

2009-01-07

-0.006780

2009-01-08

-0.023821

2009-01-09

0.014205

import matplotlib.pyplot as plt

import numpy as np

plt.subplot(211)

plt.plot(SHret**2)

plt.xticks([])

plt.title('Squared Daily Return of SH Index')

plt.subplot(212)

plt.plot(np.abs(SHret))

plt.title('Absolute Daily Return of SH index')

/Users/yaochenli/anaconda3/lib/python3.7/site-p