Backtesting del modello GARCH

Modelli GARCH in Python

Chelsea Yang

Data Science Instructor

Backtesting

  • Un metodo per valutare la capacità di previsione del modello

  • Confronta le previsioni del modello con i dati storici reali

Modelli GARCH in Python

In-sample vs out-of-sample

  • In-sample: stima del modello

  • Out-of-sample: backtesting

Modelli GARCH in Python

MAE

Mean Absolute Error

Equazione MAE

Modelli GARCH in Python

MSE

Mean Squared Error

Equazione MSE

Modelli GARCH in Python

Calcolare MAE e MSE in 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)
Modelli GARCH in Python

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Modelli GARCH in Python

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