Alternatives and similar repositories for muarch

Users that are interested in muarch are comparing it to the libraries listed below

• srivastavaprashant / mgarch
  DCC-GARCH(1,1) for multivariate normal distribution.
  ☆62Updated 2 years ago
• RefaelLasry / EstimationOfCovarianceMatrix
  Estimation of the Covariance Matrix - linear and nonlinear shrinkage
  ☆23Updated 3 years ago
• n4tg / MSGARCH_comp
  Comparison of Markov-Switching GARCH models, namely symmetric GARCH, EGARCH, GJR-GARCH, performances in Value-at-Risk forecasting.
  ☆27Updated 8 years ago
• SaremS / sample_notebooks
  Loose collection of Jupyter notebooks, mostly for my blog
  ☆28Updated last year
• matzhaugen / analytic_shrinkage
  Non-Linear Covariance Shrinkage
  ☆14Updated 4 years ago
• Topaceminem / DCC-GARCH
  DCC GARCH modeling in Python
  ☆101Updated 5 years ago
• blake-marsh / GARCH_replication
  Replication of key GARCH model papers
  ☆37Updated 9 years ago
• talaikis / HAR-RVModelForRealizedVolatility
  HAR-RV Model For Realized Volatility
  ☆32Updated 9 years ago
• Kem975 / Deep_Partial_Least_Squares
  Source code for Deep Partial Least Squares for Empirical Asset Pricing.
  ☆15Updated 3 years ago
• RoughStochVol / small-time_asymptotics_fractional
  Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.
  ☆13Updated 8 years ago
• jack-tobin / mvgarch
  Multivariate GARCH modelling in Python
  ☆16Updated last year
• duffau / RNN_GARCH
  Estimating Value-at-Risk with a recurrent neural network (Jordan type) GARCH model
  ☆72Updated 6 years ago
• iankhr / armagarch
  ARMA-GARCH
  ☆103Updated 2 years ago
• yangyang2000 / Dynamic-Factor-Model
  Python code for dynamic facctor model. (Preliminary and in progress)
  ☆22Updated 8 years ago
• maximenc / Extreme-Risk
  Using Extreme Value Theory (EVT) to Estimate Value-at-Risk (VaR) and Expected shortfall (ES)
  ☆11Updated 4 years ago
• mdsunivie / HARNet
  TensorFlow implementation of the HARNet model for realized volatility forecasting.
  ☆28Updated 2 years ago
• yitaohu88 / Empirical-Method-in-Finance
  Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…
  ☆45Updated 4 years ago
• amuguruza / LDP-VolOptions
  Large Deviations for volatility options
  ☆13Updated 6 years ago
• 0zean / MODWT-MARS
  Evaluation of Hybrid MODWT-MARS framework for financial time series forecasting
  ☆18Updated last year
• dppalomar / highOrderPortfolios
  Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis
  ☆26Updated 3 years ago
• 0zean / MARS-Time-Series
  Multivariate Adaptive Regression Splines for Time Series Prediction
  ☆18Updated 2 years ago
• YalDan / JumpDetectR
  Scalable implementation of Lee / Mykland (2012), Ait-Sahalia / Jacod (2012) and Ait-Sahalia / Jacod / Li (2012) Jump tests for noisy hig…
  ☆14Updated 3 years ago
• cvxgrp / cov_pred_finance
  ☆70Updated 6 months ago
• veniarakelian / copula
  [Quantitative Finance 2019] Sovereign Risk Zones in Europe During and After the Debt Crisis
  ☆13Updated 5 years ago
• werleycordeiro / Dynamic_Nelson_Siegel_Svensson_Kalman_Filter
  Python Package: Fitting and Forecasting the yield curve
  ☆38Updated 4 years ago
• dppalomar / covFactorModel
  Covariance Matrix Estimation via Factor Models
  ☆37Updated 6 years ago
• justinhou95 / NeuralHedge
  Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization
  ☆17Updated last year
• BayerSe / VaR-Backtesting
  Implementation of a variety of Value-at-Risk backtests
  ☆42Updated 6 years ago
• GustavoAlovisi / cvar_portfolio_optim
  ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.
  ☆29Updated 4 years ago
• RoughStochVol / regularity_structure_finance
  Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.
  ☆12Updated 8 years ago