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LQM Registry / volatility

Variance-Targeted GARCH(1,1)

GARCH(1,1) conditional volatility model using variance targeting and deterministic Gaussian quasi-likelihood search with persistence diagnostics.

Model keylq.volatility.garch11
Version1.0.0
Runtimepython-process
Run governed modelTry browser demo
Model contract

Inputs are explicit.

{
    "type": "object",
    "required": [
        "returns"
    ],
    "properties": {
        "returns": {
            "type": "array",
            "items": {
                "type": "number"
            },
            "minItems": 30
        }
    }
}
Output contract

Outputs are explicit.

{
    "type": "object",
    "required": [
        "omega",
        "alpha",
        "beta",
        "persistence",
        "conditional_variance_path",
        "forecast"
    ]
}
Default parameters
{
    "demean": true,
    "periods_per_year": 252,
    "horizon": 10
}
Example input
{
    "returns": [
        0.0040000000000000000832667268468867405317723751068115234375,
        -0.00200000000000000004163336342344337026588618755340576171875,
        0.005000000000000000104083408558608425664715468883514404296875,
        -0.003000000000000000062450045135165055398829281330108642578125,
        0.0040000000000000000832667268468867405317723751068115234375,
        0.0120000000000000002498001805406602215953171253204345703125,
        -0.0179999999999999986399767948341832379810512065887451171875,
        0.01600000000000000033306690738754696212708950042724609375,
        -0.0210000000000000013045120539345589349977672100067138671875,
        0.0189999999999999995281552145343084703199565410614013671875,
        -0.01000000000000000020816681711721685132943093776702880859375,
        0.00600000000000000012490009027033011079765856266021728515625,
        0.003000000000000000062450045135165055398829281330108642578125,
        -0.0040000000000000000832667268468867405317723751068115234375,
        0.005000000000000000104083408558608425664715468883514404296875,
        0.025000000000000001387778780781445675529539585113525390625,
        -0.0299999999999999988897769753748434595763683319091796875,
        0.0280000000000000005828670879282071837224066257476806640625,
        -0.021999999999999998723243521681069978512823581695556640625,
        0.01700000000000000122124532708767219446599483489990234375,
        -0.0120000000000000002498001805406602215953171253204345703125,
        0.00899999999999999931998839741709161899052560329437255859375,
        0.005000000000000000104083408558608425664715468883514404296875,
        -0.003000000000000000062450045135165055398829281330108642578125,
        0.0040000000000000000832667268468867405317723751068115234375,
        0.01400000000000000029143354396410359186120331287384033203125,
        -0.01600000000000000033306690738754696212708950042724609375,
        0.0179999999999999986399767948341832379810512065887451171875,
        -0.01299999999999999940325512426397835952229797840118408203125,
        0.0109999999999999993616217608405349892564117908477783203125,
        0.00600000000000000012490009027033011079765856266021728515625,
        -0.0040000000000000000832667268468867405317723751068115234375,
        0.003000000000000000062450045135165055398829281330108642578125,
        0.008000000000000000166533453693773481063544750213623046875,
        -0.007000000000000000145716771982051795930601656436920166015625,
        0.005000000000000000104083408558608425664715468883514404296875
    ]
}
Capabilities
cpuvolatilityeconometricsrisk
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