Question about EWMAVariance forecast

[grassriver]

Hi,

I see that arch package provides an EWMA volatility model.

http://bashtage.github.io/arch/doc/univariate/generated/arch.univariate.EWMAVariance.html#arch.univariate.EWMAVariance

The above page gives a brief introduction to this method. But I still don't know how to apply it. For example, I have a series of stock returns, y and lambda is set to 0.94.

from arch.univariate import EWMAVariance
rm = EWMAVariance(0.94)

How do I get the 1-day volatility forecast using the EWMA volatility model after the above two lines of codes? Could you give us an example?

Thanks!

[bashtage]

You need a full model with EWMAVariance as the volatility process. See the examples in the docs which cover building a model from components.