ARMA-GARCH
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Oct 15, 2023 - Python
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gjr-garch
Here are 6 public repositories matching this topic...
MSGARCH R Package
finance
r
time-series
arch
risk
econometrics
forecasting
variance
volatility
garch
forecasting-models
gjr-garch
egarch
tgarch
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Dec 5, 2022 - R
MSc Finance dissertation project at Newcastle University. This project focused on forecasting the volatility of exchange rates involving the Great British Pound using EWMA, GARCH-type and Implied Volatility models.
forecasting
ols-regression
garch
time-series-analysis
implied-volatility
ewma
volatility-modeling
gjr-garch
egarch
tgarch
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Feb 7, 2024 - Python
This repository of codes includes in the R and Python programs used in the six chapters of my published book titled "Analysis and Forecasting of Financial Time Series: Selected Cases". The book is published by Cambridge Scholars Publishing, New Casle upon Tyne, United Kindoam, in 2022.
portfolio
time-series
risk-analysis
risk
lstm-model
portfolio-optimization
hierarchical
optimization-algorithms
lstm-neural-networks
mean-variance-optimization
hierarchical-clustering
time-series-analysis
time-series-prediction
time-series-forecasting
garch-models
gjr-garch
cointegration-strategy
egarch
cointegration-analysis
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Sep 29, 2022
Backtesting Median Shortfall and VaR
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Jan 18, 2024 - Jupyter Notebook
This project showcases an advanced GARCH implementation in Python, APARCH(1,1). It determines the parameters best defining a stock's returns variance, and then uses these in a Monte Carlo simulation to simulate future returns with asymmetric volatility clustering.
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Sep 10, 2022 - Python
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