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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']
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()
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