Not able to predict the price

Quant Trading Strategies & Ideas
1

Course Name: Quantitative Trading Strategies and Models, Section No: 5, Unit No: 23, Unit type: Notebook

The problem is that when I execute the program, the next line gives me an error: model.fit(start_params=model_fit_0.params)

The error is: IndexError: index 4 is out of bounds for axis 0 with size 4 .

I'm using: 'statsmodels.tsa.arima.model import ARIMA' as the one you use is being deprecated for this one.

2

Hello Jose,

In Section No-5, Unit No-23, we are forecasting volatility using the GARCH model.

So, instead of importing ARIMA, you need to import 'arch_model' and set 'vol' parameter in arch_model() function to 'GARCH'. 



Please refer to line 10 of the notebook.



Hope this helps!



Thank you