Uji balik model GARCH

Model GARCH di Python

Chelsea Yang

Data Science Instructor

Uji balik (Backtesting)

  • Cara menilai kemampuan peramalan model

  • Bandingkan prediksi model dengan data historis aktual

Model GARCH di Python

In-sample vs. out-of-sample

  • In-sample: pemodelan/penyesuaian

  • Out-of-sample: uji balik

Model GARCH di Python

MAE

Mean Absolute Error

Persamaan MAE

Model GARCH di Python

MSE

Mean Squared Error

Persamaan MSE

Model GARCH di Python

Hitung MAE, MSE di Python

from sklearn.metrics import mean_absolute_error, mean_squared_error

# Call function to calculate MAE
mae = mean_absolute_error(observation, forecast)


# Call function to calculate MSE
mse = mean_squared_error(observation, forecast)
Model GARCH di Python

Ayo berlatih!

Model GARCH di Python

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