{ "cells": [ { "cell_type": "code", "execution_count": 1, "metadata": { "collapsed": true }, "outputs": [], "source": [ "import numpy as np\n", "import pandas as pd\n", "import requests\n", "from scipy.stats import norm, chi2, genpareto\n", "import matplotlib.pyplot as plt\n", "from arch import arch_model\n", "%matplotlib inline" ] }, { "cell_type": "code", "execution_count": 2, "outputs": [ { "data": { "text/plain": " Unnamed: 0 date open high low close volumn\n0 0 1992-11-17 76.00 76.50 61.90 73.50 13051800\n1 1 1992-11-18 70.00 87.00 70.00 85.10 8871100\n2 2 1992-11-19 86.00 93.50 80.00 88.20 650000\n3 3 1992-11-20 89.00 90.80 85.05 88.90 1305200\n4 4 1992-11-23 90.00 94.00 89.10 93.70 887100\n... ... ... ... ... ... ... ...\n7309 7309 2023-06-05 11.25 11.40 11.03 11.39 3141326\n7310 7310 2023-06-06 11.46 11.58 11.31 11.39 4408895\n7311 7311 2023-06-07 11.26 11.40 11.16 11.24 4106022\n7312 7312 2023-06-08 11.35 11.43 11.19 11.43 4149589\n7313 7313 2023-06-09 11.40 11.86 11.27 11.80 5283459\n\n[7314 rows x 7 columns]", "text/html": "
| \n | Unnamed: 0 | \ndate | \nopen | \nhigh | \nlow | \nclose | \nvolumn | \n
|---|---|---|---|---|---|---|---|
| 0 | \n0 | \n1992-11-17 | \n76.00 | \n76.50 | \n61.90 | \n73.50 | \n13051800 | \n
| 1 | \n1 | \n1992-11-18 | \n70.00 | \n87.00 | \n70.00 | \n85.10 | \n8871100 | \n
| 2 | \n2 | \n1992-11-19 | \n86.00 | \n93.50 | \n80.00 | \n88.20 | \n650000 | \n
| 3 | \n3 | \n1992-11-20 | \n89.00 | \n90.80 | \n85.05 | \n88.90 | \n1305200 | \n
| 4 | \n4 | \n1992-11-23 | \n90.00 | \n94.00 | \n89.10 | \n93.70 | \n887100 | \n
| ... | \n... | \n... | \n... | \n... | \n... | \n... | \n... | \n
| 7309 | \n7309 | \n2023-06-05 | \n11.25 | \n11.40 | \n11.03 | \n11.39 | \n3141326 | \n
| 7310 | \n7310 | \n2023-06-06 | \n11.46 | \n11.58 | \n11.31 | \n11.39 | \n4408895 | \n
| 7311 | \n7311 | \n2023-06-07 | \n11.26 | \n11.40 | \n11.16 | \n11.24 | \n4106022 | \n
| 7312 | \n7312 | \n2023-06-08 | \n11.35 | \n11.43 | \n11.19 | \n11.43 | \n4149589 | \n
| 7313 | \n7313 | \n2023-06-09 | \n11.40 | \n11.86 | \n11.27 | \n11.80 | \n5283459 | \n
7314 rows × 7 columns
\n| \n | date | \nopen | \nhigh | \nlow | \nclose | \nvolumn | \n
|---|---|---|---|---|---|---|
| 0 | \n1992-11-17 | \n76.00 | \n76.50 | \n61.90 | \n73.50 | \n13051800 | \n
| 1 | \n1992-11-18 | \n70.00 | \n87.00 | \n70.00 | \n85.10 | \n8871100 | \n
| 2 | \n1992-11-19 | \n86.00 | \n93.50 | \n80.00 | \n88.20 | \n650000 | \n
| 3 | \n1992-11-20 | \n89.00 | \n90.80 | \n85.05 | \n88.90 | \n1305200 | \n
| 4 | \n1992-11-23 | \n90.00 | \n94.00 | \n89.10 | \n93.70 | \n887100 | \n
| ... | \n... | \n... | \n... | \n... | \n... | \n... | \n
| 7309 | \n2023-06-05 | \n11.25 | \n11.40 | \n11.03 | \n11.39 | \n3141326 | \n
| 7310 | \n2023-06-06 | \n11.46 | \n11.58 | \n11.31 | \n11.39 | \n4408895 | \n
| 7311 | \n2023-06-07 | \n11.26 | \n11.40 | \n11.16 | \n11.24 | \n4106022 | \n
| 7312 | \n2023-06-08 | \n11.35 | \n11.43 | \n11.19 | \n11.43 | \n4149589 | \n
| 7313 | \n2023-06-09 | \n11.40 | \n11.86 | \n11.27 | \n11.80 | \n5283459 | \n
7314 rows × 6 columns
\n| \n | date | \nopen | \nhigh | \nlow | \nclose | \nvolumn | \n
|---|---|---|---|---|---|---|
| 0 | \n1992-11-17 | \n76.00 | \n76.50 | \n61.90 | \n73.50 | \n13051800 | \n
| 1 | \n1992-11-18 | \n70.00 | \n87.00 | \n70.00 | \n85.10 | \n8871100 | \n
| 2 | \n1992-11-19 | \n86.00 | \n93.50 | \n80.00 | \n88.20 | \n650000 | \n
| 3 | \n1992-11-20 | \n89.00 | \n90.80 | \n85.05 | \n88.90 | \n1305200 | \n
| 4 | \n1992-11-23 | \n90.00 | \n94.00 | \n89.10 | \n93.70 | \n887100 | \n
| ... | \n... | \n... | \n... | \n... | \n... | \n... | \n
| 7309 | \n2023-06-05 | \n11.25 | \n11.40 | \n11.03 | \n11.39 | \n3141326 | \n
| 7310 | \n2023-06-06 | \n11.46 | \n11.58 | \n11.31 | \n11.39 | \n4408895 | \n
| 7311 | \n2023-06-07 | \n11.26 | \n11.40 | \n11.16 | \n11.24 | \n4106022 | \n
| 7312 | \n2023-06-08 | \n11.35 | \n11.43 | \n11.19 | \n11.43 | \n4149589 | \n
| 7313 | \n2023-06-09 | \n11.40 | \n11.86 | \n11.27 | \n11.80 | \n5283459 | \n
7314 rows × 6 columns
\n| \n | date | \nopen | \nhigh | \nlow | \nclose | \nvolumn | \n
|---|---|---|---|---|---|---|
| 0 | \n1992-11-17 | \n76.00 | \n76.50 | \n61.90 | \n73.50 | \n13051800 | \n
| 1 | \n1992-11-18 | \n70.00 | \n87.00 | \n70.00 | \n85.10 | \n8871100 | \n
| 2 | \n1992-11-19 | \n86.00 | \n93.50 | \n80.00 | \n88.20 | \n650000 | \n
| 3 | \n1992-11-20 | \n89.00 | \n90.80 | \n85.05 | \n88.90 | \n1305200 | \n
| 4 | \n1992-11-23 | \n90.00 | \n94.00 | \n89.10 | \n93.70 | \n887100 | \n
| ... | \n... | \n... | \n... | \n... | \n... | \n... | \n
| 7309 | \n2023-06-05 | \n11.25 | \n11.40 | \n11.03 | \n11.39 | \n3141326 | \n
| 7310 | \n2023-06-06 | \n11.46 | \n11.58 | \n11.31 | \n11.39 | \n4408895 | \n
| 7311 | \n2023-06-07 | \n11.26 | \n11.40 | \n11.16 | \n11.24 | \n4106022 | \n
| 7312 | \n2023-06-08 | \n11.35 | \n11.43 | \n11.19 | \n11.43 | \n4149589 | \n
| 7313 | \n2023-06-09 | \n11.40 | \n11.86 | \n11.27 | \n11.80 | \n5283459 | \n
7314 rows × 6 columns
\n| \n | date | \nopen | \nhigh | \nlow | \nclose | \nvolumn | \ndret1 | \n
|---|---|---|---|---|---|---|---|
| 1 | \n1992-11-18 | \n70.00 | \n87.00 | \n70.00 | \n85.10 | \n8871100 | \n0.146542 | \n
| 2 | \n1992-11-19 | \n86.00 | \n93.50 | \n80.00 | \n88.20 | \n650000 | \n0.035780 | \n
| 3 | \n1992-11-20 | \n89.00 | \n90.80 | \n85.05 | \n88.90 | \n1305200 | \n0.007905 | \n
| 4 | \n1992-11-23 | \n90.00 | \n94.00 | \n89.10 | \n93.70 | \n887100 | \n0.052586 | \n
| 5 | \n1992-11-24 | \n94.00 | \n117.00 | \n94.00 | \n115.00 | \n1478100 | \n0.204834 | \n
| ... | \n... | \n... | \n... | \n... | \n... | \n... | \n... | \n
| 7309 | \n2023-06-05 | \n11.25 | \n11.40 | \n11.03 | \n11.39 | \n3141326 | \n0.009705 | \n
| 7310 | \n2023-06-06 | \n11.46 | \n11.58 | \n11.31 | \n11.39 | \n4408895 | \n0.000000 | \n
| 7311 | \n2023-06-07 | \n11.26 | \n11.40 | \n11.16 | \n11.24 | \n4106022 | \n-0.013257 | \n
| 7312 | \n2023-06-08 | \n11.35 | \n11.43 | \n11.19 | \n11.43 | \n4149589 | \n0.016763 | \n
| 7313 | \n2023-06-09 | \n11.40 | \n11.86 | \n11.27 | \n11.80 | \n5283459 | \n0.031858 | \n
7313 rows × 7 columns
\n