arch.univariate.base.ARCHModelResult.plot

ARCHModelResult.plot(annualize=None, scale=None)

Plot standardized residuals and conditional volatility

Parameters
  • annualize (str, optional) – String containing frequency of data that indicates plot should contain annualized volatility. Supported values are ‘D’ (daily), ‘W’ (weekly) and ‘M’ (monthly), which scale variance by 252, 52, and 12, respectively.

  • scale (float, optional) – Value to use when scaling returns to annualize. If scale is provides, annualize is ignored and the value in scale is used.

Returns

fig – Handle to the figure

Return type

figure

Examples

>>> from arch import arch_model
>>> am = arch_model(None)
>>> sim_data = am.simulate([0.0, 0.01, 0.07, 0.92], 2520)
>>> am = arch_model(sim_data['data'])
>>> res = am.fit(update_freq=0, disp='off')
>>> fig = res.plot()

Produce a plot with annualized volatility

>>> fig = res.plot(annualize='D')

Override the usual scale of 252 to use 360 for an asset that trades most days of the year

>>> fig = res.plot(scale=360)