Introduction to bvhar

Data

This package includes the same CBOE ETF volatility index series.

from bvhar.datasets import load_vix
etf_vix = load_vix()

	GVZCLS	OVXCLS	VXFXICLS	VXEEMCLS	VXSLVCLS	EVZCLS	VXXLECLS	VXGDXCLS	VXEWZCLS
0	21.47	36.52	30.19	30.09	44.47	13.19	27.53	33.51	31.27
1	21.51	35.44	28.89	29.49	42.93	12.61	26.64	33.02	30.12
2	22.34	35.52	29.06	29.82	43.51	13.12	27.65	33.76	30.18
3	21.60	36.59	28.46	30.01	42.83	12.77	27.64	33.50	30.75
4	21.20	35.62	29.54	31.13	43.48	13.31	27.80	32.81	32.70
...	...	...	...	...	...	...	...	...	...
900	13.85	30.06	29.12	17.05	24.33	12.81	15.11	30.03	29.17
901	13.89	29.69	28.13	16.21	24.80	12.85	14.67	29.54	28.15
902	13.83	29.60	27.80	17.90	24.91	12.32	15.19	29.29	27.63
903	13.12	29.26	27.58	18.10	23.49	12.39	16.46	28.86	29.14
904	13.22	29.01	29.36	18.94	22.87	13.05	16.99	29.01	29.22

905 rows × 9 columns

Models

from bvhar.model import VarOls, VharOls

VAR

fit_var = VarOls(etf_vix, 1, True)
fit_var.fit()

VHAR

BVAR

BVHAR