Dynamic Correlation between Bitcoin and S&P500

karim · June 4, 2022, 2:41pm

Hi there,

i am having trouble in python doing the DCC Garch Model to compare the volatility between Bitcoin and S&P 500. I have already separately done garch model on its own for both assets and now i’m stuck with implementing the DCC part at the end.

Tino · June 6, 2022, 12:34am

Hi Karim,

can you share more info?

Have you tried using the code on my github?

github.com

tinoproductions/DirtyQuant/blob/master/DCC Model.ipynb

{
 "cells": [
  {
   "cell_type": "code",
   "execution_count": 1,
   "metadata": {},
   "outputs": [],
   "source": [
    "import pandas as pd\n",
    "import numpy as np\n",
    "import statsmodels.api as sm\n",
    "import plotly.express as px\n",
    "import plotly.figure_factory as ff\n",
    "from arch import arch_model\n",
    "\n",
    "from ipywidgets import HBox, VBox, Dropdown, Output\n",
    "from scipy.optimize import fmin, minimize\n",
    "from scipy.stats import t\n",
    "from scipy.stats import norm\n",
    "from math import inf\n",

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Where exactly do you get stuck?

Tino

karim · June 6, 2022, 12:11pm

Yes but i am having trouble to import my data because i need S&P500 on its own(Not list of companies ) and Bitcoin also .Im getting my data from yahoo finance (daily) But im struggling to re-write the code to suit it for my needs :).

Tino · June 7, 2022, 11:45pm

Best of luck, that’s how you learn!