Volatility Forecasting In Python
In this blog post, we will explore how we can use Python to forecast volatility using three methods: Naive, the popular GARCH and machine learning with scikit-learn. Volatility here is the standard deviation of the returns of a financial instrument. I will teach you starting points to kickstart your own research. Table of Contents Installing ARCH and mlforecast Preparing The Data For Volatility Forecasting Naive Volatility Forecasting GARCH For Volatility Forecasting Volatility Forecasting With Scikit-Learn Installing ARCH and mlforecast First we need to install the required packages....