PYTHON
作业题
要求使用GARCH model，有图表和解释。
定义公式如下
Topic: the GARCH(1,1) Model
Chapter 23 ”Estimating volatilities and correlations”, section 23.5 “maximum likelihood methods”,pp.527-528
Please apply the maximum likelihood method (equation 23.12) to find the parameters of the GARCH(1,1) MODEL (equation 23.8).
Apply your code to the S&P 500 index returns between July 18,2005 and August 13, 2010. Find the parameter values. Do they match with the book’s ones?