Comments (3)
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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Thanks for your response. I would like to know if any of the following code snippets would give desired results of calculating quantiles:
numpy.quantile(forecast_result.simulated_variances.values[-1], list_of_quantiles, axis=0)
numpy.quantile(forecast_result.simulations.values[-1], list_of_quantiles, axis=0)
or is there any method in arch
to get quantiles? @bashtage
from arch.
Kindly help me understand whether above operation is valid? @bashtage
from arch.
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