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RJT1990 / pyflux

Open source time series library for Python
BSD 3-Clause "New" or "Revised" License
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Garch model - How to transform the conditional volatility into the real volatility? #131

Open ghost opened 6 years ago

ghost commented 6 years ago

I ran the following code: garch_predict = my_model.predict(h=30)

But it returns the result of conditional volatility. I want to compare the result of the prediction to the real value of volatility.

Any idea? Thank you.