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--------------------------------------------------------------------------- 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)
The text was updated successfully, but these errors were encountered:
What is returns? What is type(returns.index)?
type(returns.index)
Sorry, something went wrong.
To be clear, when using dates, you must use a pandas DatetimeIndex.
DatetimeIndex
Goign to close since no response. I suggest checking that you have pandas DatetimeIndex on your data Series
Series
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Code:
The text was updated successfully, but these errors were encountered: