Book Image

Time Series Analysis with Python Cookbook

By : Tarek A. Atwan
Book Image

Time Series Analysis with Python Cookbook

By: Tarek A. Atwan

Overview of this book

Time series data is everywhere, available at a high frequency and volume. It is complex and can contain noise, irregularities, and multiple patterns, making it crucial to be well-versed with the techniques covered in this book for data preparation, analysis, and forecasting. This book covers practical techniques for working with time series data, starting with ingesting time series data from various sources and formats, whether in private cloud storage, relational databases, non-relational databases, or specialized time series databases such as InfluxDB. Next, you’ll learn strategies for handling missing data, dealing with time zones and custom business days, and detecting anomalies using intuitive statistical methods, followed by more advanced unsupervised ML models. The book will also explore forecasting using classical statistical models such as Holt-Winters, SARIMA, and VAR. The recipes will present practical techniques for handling non-stationary data, using power transforms, ACF and PACF plots, and decomposing time series data with multiple seasonal patterns. Later, you’ll work with ML and DL models using TensorFlow and PyTorch. Finally, you’ll learn how to evaluate, compare, optimize models, and more using the recipes covered in the book.
Table of Contents (18 chapters)

Forecasting volatility in financial time series data with GARCH

When working with financial time series data, a common task is measuring volatility to represent uncertainty in future returns. Generally, volatility measures the spread of the probability distribution of returns and is calculated as the variance (or standard deviation) and used as a proxy for quantifying volatility or risk. In other words, it measures the dispersion of financial asset returns around an expected value. Higher volatility indicates higher risks. This helps investors, for example, understand the level of return they can expect to get and how often their returns will differ from an expected value of the return.

Most of the models we discussed previously (for example, ARIMA, SARIMA, and Prophet) focused on forecasting an observed variable based on past versions of itself. These models lack modeling changes in variance over time (heteroskedasticity).

In this recipe, you will work with a different kind...