We download the S&P 500 prices from Yahoo Finance (following the approach in the Getting data from Yahoo Finance recipe) and calculate returns as in the Converting prices to returns recipe.

We use the following code to import all the required libraries:

import pandas as pd 
import numpy as np
import yfinance as yf
import seaborn as sns 
import scipy.stats as scs
import statsmodels.api as sm
import statsmodels.tsa.api as smt