10 skills found
keblu / MSGARCHMSGARCH R Package
n4tg / MSGARCH CompComparison of Markov-Switching GARCH models, namely symmetric GARCH, EGARCH, GJR-GARCH, performances in Value-at-Risk forecasting.
yli188 / Vine CopulaVine_Copula_based_ARMA_EGARCH
HaidaQuant / NASDAQ Volatility Predictionpredict the future volatility of the NASDAQ index using various econometric and machine learning models, including ARCH, GARCH, EGARCH, SVM, and ANN
boyla950 / Predicting The PoundMSc 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.
congcong009 / Btc Volatility By ARMA EGARCHThis is the code notebook for the paper on using Python to study the volatility of BTC in ARIMA-EGARCH model.
greyfin2707 / VaR CalculationCalculation of Value at Risk using Generalized normal distribution, EGARCH and GARCH + EVT
hilmierkamgurbuz / GARCH Volatility ForecastingPython code for analyzing and forecasting financial volatility with GARCH-family models (GARCH, EGARCH, GJR) using walk-forward validation.
Kapul / EGARCHE-GARCH estimation of volatilities for Value-Weighted stock market portfolios
JaydipSen / Analysis And Forecasting Of Financial Time Series Selected CasesThis 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.
