R/beta_trade.R


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library(ugarch)
df <- feather::read_feather("/home/share/CorpCDOs/data/index_returns.fth")
df$date <- as.Date(df$date)


spec <- ugarchspec(mean.model = list(armaOrder=c(0,0), include.mean = TRUE))
fit <- ugarchfit(spec, na.omit(df$ig), solver='hybrid')