Doc: Example in Parametric-VaR

[Alan-Hung]

Issue description:

The example use the codes:

res = am.fit(disp="off", last_obs="2017-12-31")
-forecasts = res.forecast(start="2018-1-1", reindex=False)
-cond_mean = forecasts.mean["2018":]
-cond_var = forecasts.variance["2018":]
q = am.distribution.ppf([0.01, 0.05], res.params[-2:])
-value_at_risk = -cond_mean.values - np.sqrt(cond_var).values * q[None, :]
  
-rets_2018 = returns["2018":].copy()

for idx in value_at_risk.index:
    if rets_2018[idx] > -value_at_risk.loc[idx, "5%"]:
        c.append("#000000")

The rets_2018 starts from 2018-01-02, but value_at_risk is evaluated from "one-step ahead" forecast starts from 2018-01-02. This leads to misalignment in date during comparison.

Modification:

I think it could be modified as followings.

• Remove the start date in forecast, since the last_obs has been set.
• Using .iloc instead of index in comparison.

res = am.fit(disp="off", last_obs="2017-12-31")
+forecasts = res.forecast(reindex=False)
+cond_mean = forecasts.mean
+cond_var = forecasts.variance
q = am.distribution.ppf([0.01, 0.05], res.params[-2:])
value_at_risk = -cond_mean.values - np.sqrt(cond_var).values * q[None, :]

rets_2018 = returns["2018":].copy()

+for idx in range(len(rets_2018)):
+    if rets_2018.iloc[idx] > -value_at_risk["5%"].iloc[idx]:
        c.append("#000000")

[bashtage]

Thanks for reporting - I agree this is off by one. One simpler solution is to use align="target" which then lets the rest of the code go through.

Fixed in the next release.