MSGARCH R Package
finance
r
time-series
arch
risk
econometrics
forecasting
variance
volatility
garch
forecasting-models
gjr-garch
egarch
tgarch
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Updated
Dec 5, 2022 - R
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egarch
Here are 6 public repositories matching this topic...
Calculation of Value at Risk using Generalized normal distribution, EGARCH and GARCH + EVT
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Nov 1, 2021 - Jupyter Notebook
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
In our fourth semester in ISI, Kolkata, we did this project titled "Econometric Analysis on NASDAQ 100". The aim of the project was to implement Econometric tools to extract insights from NASDAQ 100.
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Jun 13, 2021 - R
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