diff options
Diffstat (limited to 'python/beta_trade.py')
| -rw-r--r-- | python/beta_trade.py | 8 |
1 files changed, 7 insertions, 1 deletions
diff --git a/python/beta_trade.py b/python/beta_trade.py index a08de3fe..24a30ea6 100644 --- a/python/beta_trade.py +++ b/python/beta_trade.py @@ -1,7 +1,13 @@ import pandas as pd +import feather from option_trades import index_price_returns +from arch import arch_model returns = pd.concat([index_price_returns(index=i) for i in ['IG', 'HY']], axis=1) returns.columns = ['ig', 'hy'] -model = pd.ols(y = returns.hy, x=returns.x) +feather.write_dataframe(returns.reset_index(), "/home/share/CorpCDOs/data/index_returns.fth") +model = pd.ols(y = returns.hy, x=returns.ig) beta = model.beta.x + +am = arch_model(returns.ig.dropna()) +res = am.fit() |