MSGARCH R Package
finance
r
time-series
arch
risk
econometrics
forecasting
variance
volatility
garch
forecasting-models
gjr-garch
egarch
tgarch
-
Updated
Dec 5, 2022 - R
MSGARCH R Package
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.
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