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bashtage avatar bashtage commented on June 11, 2024

You can see here where I use similar values to plot all paths.

https://bashtage.github.io/arch/univariate/univariate_volatility_scenarios.html#Comparing-the-paths

If you want the simulated variance, you need to directly use the variances or residual_variances attributes like I do in the notebook linked above. These will be the same if the mean model is simple (Constant or ZeroMean), but will differ for autoregressive mean models (if the AR parameters are non-zero).

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Vasudeva-bit avatar Vasudeva-bit commented on June 11, 2024

Thanks for your response. I would like to know if any of the following code snippets would give desired results of calculating quantiles:

  1. numpy.quantile(forecast_result.simulated_variances.values[-1], list_of_quantiles, axis=0)
  2. numpy.quantile(forecast_result.simulations.values[-1], list_of_quantiles, axis=0)

or is there any method in arch to get quantiles? @bashtage

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Vasudeva-bit avatar Vasudeva-bit commented on June 11, 2024

Kindly help me understand whether above operation is valid? @bashtage

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