Variance Inflation Factor (VIF)
Calculate the Variance Inflation Factor (VIF) of every ticker in the Toolkit instance, treated as regressors against one another.
Also known as: VIF.
For more information about the method, see specification_tests_model.get_vif.
Variance Inflation Factor (VIF) in Python
Install the Finance Toolkit with:
pip install financetoolkit -U
Then call get_vif as shown below.
from financetoolkit import Toolkit
toolkit = Toolkit(["AAPL", "MSFT"], api_key="FINANCIAL_MODELING_PREP_KEY")
toolkit.econometrics.get_vif(period="weekly")
Which returns:
| VIF | |
|---|---|
| AAPL | 2.3688 |
| MSFT | 2.3688 |
Parameters
The function accepts the following parameters:
- period (str, optional): The data frequency (daily, weekly, monthly, quarterly, or yearly). Defaults to “daily”.
- column (str, optional): The historical data column to use. Defaults to “Return”.
- include_benchmark (bool, optional): Whether to include “Benchmark” among the regressors tested. Defaults to False.
- rounding (int | None, optional): The number of decimals to round the results to. Defaults to None.