Python for Finance Cookbook

How to do it...

Execute the following steps to estimate the ARCH(1) model.

1. Import the libraries:

import pandas as pdimport yfinance as yffrom arch import arch_model

2. Specify the risky asset and the time horizon:

RISKY_ASSET = 'GOOG'START_DATE = '2015-01-01'END_DATE = '2018-12-31'

3. Download data from Yahoo Finance:

df = yf.download(RISKY_ASSET,                 start=START_DATE,                 end=END_DATE,                 adjusted=True) 

4. Calculate daily returns:

returns = 100 * df['Adj Close'].pct_change().dropna()returns.name = 'asset_returns'returns.plot(title=f'{RISKY_ASSET} returns: {START_DATE} - {END_DATE}')

Running the code generates the following plot:

In the plot, we can ...