By combining GARCH(1,1) and LSTM model implementing predictions.
☆59Dec 29, 2018Updated 7 years ago
Alternatives and similar repositories for Neural-Garch-Hybrid-Model-Implementation
Users that are interested in Neural-Garch-Hybrid-Model-Implementation are comparing it to the libraries listed below
Sorting:
- Developing hybrid deep learning models by integrating Neural networks with (s,e,t)GARCH models to predict volatility in the Indian Commod…☆19May 21, 2021Updated 4 years ago
- A hybrid model to predict the volatility of stock index with LSTM and GARCH-type input parameters☆28Dec 17, 2020Updated 5 years ago
- GARCH and Multivariate LSTM forecasting models for Bitcoin realized volatility with potential applications in crypto options trading, hed…☆297Sep 10, 2021Updated 4 years ago
- Traditionally, volatility is modeled using parametric models. This project focuses on predicting EUR/USD volatility using more flexible, …☆27Oct 20, 2021Updated 4 years ago
- Estimating Value-at-Risk with a recurrent neural network (Jordan type) GARCH model☆72Sep 15, 2019Updated 6 years ago
- A Python implementation of a Hybrid LSTM-GARCH model for volatility forecasting☆52Oct 18, 2022Updated 3 years ago
- ARIMA & GARCH models for stock price prediction☆26Sep 13, 2020Updated 5 years ago
- ARMA-GARCH☆103Oct 15, 2023Updated 2 years ago
- Market Risk Management with Time Series Prediction of Stock Market Trends using ARMA, ARIMA, GARCH regression models and RNN for time ser…☆23Aug 12, 2017Updated 8 years ago
- In this project, this research generally investigates the financial time series such as the price & return of NASDAQ Composite Index usin…☆12Dec 7, 2018Updated 7 years ago
- Multivariate DCC-GARCH model☆16Sep 27, 2018Updated 7 years ago
- Using three approaches to calculate Value at Risk and Conditional Value at Risk of a portfolio of assets.☆14Apr 24, 2020Updated 5 years ago
- Implementation of DeepAR in PyTorch.☆12Aug 9, 2019Updated 6 years ago
- LSTM stock prediction and backtesting☆14Jan 11, 2020Updated 6 years ago
- A repository to explore the concepts of applied econometrics in the context of financial time-series.☆41Feb 10, 2020Updated 6 years ago
- Portfolio level (un)conditional risk measure estimation for backtesting using Vine Copula and ARMA-GARCH models.☆24Jan 22, 2024Updated 2 years ago
- Explore TESLA stock price (time-series) using ARIMA & GARCH model.☆20Oct 20, 2021Updated 4 years ago
- Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation☆25Apr 27, 2018Updated 7 years ago
- Comparison of Markov-Switching GARCH models, namely symmetric GARCH, EGARCH, GJR-GARCH, performances in Value-at-Risk forecasting.☆28Aug 28, 2017Updated 8 years ago
- 系统性风险指标计算☆10Apr 20, 2020Updated 5 years ago
- Stock markets are an essential component of the economy. Their prediction naturally arouses afascination in the academic and financial w…☆22Jun 12, 2021Updated 4 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆72Feb 19, 2020Updated 6 years ago
- This project aims to predict VOLATILITY S&P 500 (^VIX) time series using LSTM.☆102Nov 4, 2020Updated 5 years ago
- A competition held by Chinese society of social insurance and Aibaba Group. I individually got the ranking of 15 in the first round and 1…☆31Nov 20, 2017Updated 8 years ago
- Smoothing algorithm and interpolation tool using cubic Bézier splines - reproduces Excel's smooth scatter plot☆16Sep 30, 2015Updated 10 years ago
- Cointegration Test in python☆28Mar 19, 2019Updated 6 years ago
- ☆41Feb 10, 2021Updated 5 years ago
- Sparse regression of mixed-frequency VectorAutoregressions☆10May 11, 2022Updated 3 years ago
- Replication of key GARCH model papers☆37Mar 10, 2016Updated 9 years ago
- Predicting stock prices using Geometric Brownian Motion and the Monte Carlo method☆44Mar 4, 2021Updated 5 years ago
- 计算上证50ETF期权隐含波动率并验证波动率微笑☆32Nov 26, 2018Updated 7 years ago
- Open souce quantitative finance models and algorithms with tutorials☆50Apr 8, 2021Updated 4 years ago
- MetaTrader5 to Python Bridge, with millisecond level tick precision.☆38Aug 8, 2019Updated 6 years ago
- Difference-in-Differences analysis of survey data to estimate causal effects☆10Feb 27, 2019Updated 7 years ago
- Implementation of panel data regression (first differences, fixed effects) in python (numpy, pandas)☆12May 12, 2016Updated 9 years ago
- The dataset contains Wikipedia comments which have been labeled by human raters for toxic behavior.☆11Jun 20, 2020Updated 5 years ago
- Using policy shocks to construct systematic policy rule counterfactuals☆16Apr 24, 2023Updated 2 years ago
- ☆12May 20, 2024Updated last year
- Codes for for Bayesian Local Projections & Bayesian Direct Forecasts☆15Jun 19, 2023Updated 2 years ago