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Zarmina97 / Top-3-Crypto-Volatility-prediction-LSTM-GARCH

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question #1

Open Justin-Wong1215 opened 2 years ago

Justin-Wong1215 commented 2 years ago

Is it OK if U put volatility in garch model? am = arch_model(vol, vol='Garch', p=1, o=1, q=1, dist='Normal')

Zarmina97 commented 2 years ago

Yes, it's the name of the volatility model. Currently supported options are: ‘GARCH’ (default), ‘ARCH’, ‘EGARCH’, ‘FIARCH’ and ‘HARCH’

Justin-Wong1215 commented 2 years ago

I mean you use 'volatility data' as one of the parameters in Garch model, but in other github codes, they put 'return data' in where U put 'vol'. I don't really understand the difference, and which one is correct? Thank U for your replay. Besides that, is this code for your paper or something else?