arch.univariate.base.ARCHModelFixedResult.plot

ARCHModelFixedResult.plot(annualize=None, scale=None)[source]

Plot standardized residuals and conditional volatility

Parameters
annualizestr, 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.

scalefloat, optional

Value to use when scaling returns to annualize. If scale is provided, annualize is ignored and the value in scale is used.

Returns
figfigure

Handle to the 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)
Return type

Figure