What is the Brazilian stock market called?
Brazil's stock market is ^BVSP is the benchmark of 70 stocks.
IBOVESPA (^BVSP) is Brl means brazil
Need some code in python
import yfinance as yf
import numpy as np
import pandas as pd
import seaborn as sns
import scipy.stats as scs
import statsmodels.api as sm
import statsmodels.tsa.api as smt
import matplotlib.pyplot as plt
How to collect data in python?
df = yf.download('^BVSP',
start='1985-01-01',
end='2021-07-29',
progress=False)
Find simple and log return
df[['simple_rtn','log_rtn']].tail(20)
Get simple and log return
Define Relise volatility code in python
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)
How to plot simple,log return in python?
fig, ax = plt.subplots(3, 1, figsize=(24, 20), sharex=True)
df.adj_close.plot(ax=ax[0])
ax[0].set(title = 'BVSP time series',
ylabel = 'Stock price ($)')
df.simple_rtn.plot(ax=ax[1])
ax[1].set(ylabel = 'Simple returns (%)')
df.log_rtn.plot(ax=ax[2])
ax[2].set(xlabel = 'Date',
ylabel = 'Log returns (%)')
fig, ax = plt.subplots()
ax.plot(df_outliers.index, df_outliers.simple_rtn,
color='blue', label='Normal')
ax.scatter(outliers.index, outliers.simple_rtn,
color='red', label='Anomaly')
ax.set_title("BVSP returns")
ax.legend(loc='lower right')
Correction between Ibovespa and vix
ax = sns.regplot(x='log_rtn', y='vol_rtn', data=df,
line_kws={'color': 'red'})
ax.set(title=f'BVSP vs. VIX ($\\rho$ = {corr_coeff:.2f})',
ylabel='VIX log returns',
xlabel='BVSP log returns')
Plot correlation between BVSP and VIX
Learn PYTHON
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