python GARCH模型

pip install arch

from arch import arch_model

import tushare as ts

import pandas as pd

import numpy as np

sh=ts.get_hist_data('sh').sort_index()

sh['re']=np.log(sh['close']/sh[close].shift(1))

sh=sh.dropna()

am=arch_model(sh['re'])

model=am.fit(update_frq=0)

print(model.summary())