Euronext Brussels(BEL20) INDEX is a european index. It consists of minimum 10 and maximum 20 companines.
df = yf.download('^BFX',
start='1985-01-01',
end='2021-08-13',
progress=False)
df = df.loc[:, ['Adj Close']]
df.rename(columns={'Adj Close':'adj_close'}, inplace=True)
df[['simple_rtn','log_rtn']].tail(20)
def realized_volatility(x):
return np.sqrt(np.sum(x**2))
df_rv = df.groupby(pd.Grouper(freq='M')).apply(realized_volatility)
df_rv.rename(columns={'log_rtn': 'rv'}, inplace=True)
df_rv.rv = df_rv.rv * np.sqrt(12)
fig, ax = plt.subplots(2, 1, sharex=True)
ax[0].plot(df)
ax[1].plot(df_rv)
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