Calculates sigma_2 forecasts based on the EGARCH model.

For more information about the method, see the following paper:

  • Nelson, D.B. (1991). “Conditional Heteroskedasticity in Asset Returns: A New Approach.” Econometrica, 59(2), 347-370.

Also known as: volatility forecast, predicted volatility.

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Calculate the EGARCH Volatility Forecast in Python

The EGARCH Volatility Forecast is available in the Risk module of the open-source Finance Toolkit. Install it with:

pip install financetoolkit -U

Then call get_egarch_forecast as shown below.

from financetoolkit import Toolkit

toolkit = Toolkit(["AMZN", "TSLA"], api_key="FINANCIAL_MODELING_PREP_KEY")

toolkit.risk.get_egarch_forecast(period="quarterly")

Which returns:

  AMZN TSLA Benchmark
2026Q4 0.0261 0.1672 0.0053
2027Q1 0.0255 0.1465 0.0066
2027Q2 0.0255 0.1448 0.0067
2027Q3 0.0255 0.1447 0.0067
2027Q4 0.0255 0.1447 0.0067
2028Q1 0.0255 0.1447 0.0067
2028Q2 0.0255 0.1447 0.0067
2028Q3 0.0255 0.1447 0.0067
2028Q4 0.0255 0.1447 0.0067
2029Q1 0.0255 0.1447 0.0067

Parameters

get_egarch_forecast accepts the following parameters:

  • period (str, optional): The data frequency for returns (daily, weekly, monthly, quarterly, or yearly). Defaults to “quarterly” if the Toolkit is initialised with quarterly=True, otherwise “yearly”.
  • time_steps (int, optional): Time steps to calculate EGARCH and to forecast sigma_2 values for.
  • within_period (bool, optional): Whether to calculate EGARCH within each specified period or all at once. Defaults to False.
  • rounding (int | None, optional): The number of decimals to round the results to. Defaults to None.
  • growth (bool, optional): Whether to calculate the growth of the EGARCH values over time. Defaults to False.
  • lag (int | list[int], optional): The lag to use for the growth calculation. Defaults to 1.
  • standardize (bool, optional): Whether to standardize (Z-Score) the result. When combined with growth=True, standardizes the growth values instead of the raw values. Defaults to False.
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The Risk module page introduces the module, and the sidebar lists all of its functions.

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