Error

[pepi99]

---------------------------------------------------------------------------
AssertionError                            Traceback (most recent call last)
Cell In[186], line 8
      5 first_obs = np.datetime64('2024-06-01')
      7 am = arch_model(returns, vol='Garch', p=1, o=0, q=1, dist='Normal')
----> 8 res = am.fit(first_obs=first_obs, last_obs=last_obs)

File ~/Documents/sp&derivatives/price_analysis/.venv/lib/python3.12/site-packages/arch/univariate/base.py:641, in ARCHModel.fit(self, update_freq, disp, starting_values, cov_type, show_warning, first_obs, last_obs, tol, options, backcast)
    635 # Closed form is applicable when model has no parameters
    636 # Or when distribution is normal and constant variance
    637 has_closed_form = (
    638     v.closed_form and d.num_params == 0 and isinstance(v, ConstantVariance)
    639 )
--> 641 self._adjust_sample(first_obs, last_obs)
    643 resids = np.asarray(self.resids(self.starting_values()), dtype=float)
    644 self._check_scale(resids)

File ~/Documents/sp&derivatives/price_analysis/.venv/lib/python3.12/site-packages/arch/univariate/mean.py:677, in HARX._adjust_sample(self, first_obs, last_obs)
    671 def _adjust_sample(
    672     self,
    673     first_obs: Union[int, DateLike, None],
    674     last_obs: Union[int, DateLike, None],
    675 ) -> None:
    676     index = self._y_series.index
--> 677     _first_obs_index = cutoff_to_index(first_obs, index, 0)
    678     _first_obs_index += self._hold_back
    679     _last_obs_index = cutoff_to_index(last_obs, index, self._y.shape[0])

File ~/Documents/sp&derivatives/price_analysis/.venv/lib/python3.12/site-packages/arch/utility/array.py:278, in cutoff_to_index(cutoff, index, default)
    276 int_index = default
    277 if isinstance(cutoff, (str, dt.datetime, np.datetime64, Timestamp)):
--> 278     assert isinstance(index, DatetimeIndex)
    279     int_index = date_to_index(cutoff, index)
    280 elif isinstance(cutoff, int) or issubclass(cutoff.__class__, np.integer):

Code:

# last_obs = dt.datetime(2024, 6, 1)
# first_obs = dt.datetime(2023, 1, 1)
import numpy as np
last_obs = np.datetime64('2023-01-01')
first_obs = np.datetime64('2024-06-01')

am = arch_model(returns, vol='Garch', p=1, o=0, q=1, dist='Normal')
res = am.fit(first_obs=first_obs, last_obs=last_obs)

[bashtage]

What is returns? What is type(returns.index)?

[bashtage]

To be clear, when using dates, you must use a pandas DatetimeIndex.

[bashtage]

Goign to close since no response. I suggest checking that you have pandas DatetimeIndex on your data Series