A stock price prediction model based on ARMA and GARCH
☆24Jun 21, 2024Updated last year
Alternatives and similar repositories for arma-garch-model
Users that are interested in arma-garch-model are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- ARIMA & GARCH models for stock price prediction☆27Sep 13, 2020Updated 5 years ago
- Traditionally, volatility is modeled using parametric models. This project focuses on predicting EUR/USD volatility using more flexible, …☆28Oct 20, 2021Updated 4 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
- Calibration and pricing options in Heston model☆14Dec 24, 2017Updated 8 years ago
- Survey of neural network methods for derivatives pricing and risks☆14Jul 5, 2022Updated 3 years ago
- Serverless GPU API endpoints on Runpod - Bonus Credits • AdSkip the infrastructure headaches. Auto-scaling, pay-as-you-go, no-ops approach lets you focus on innovating your application.
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆73Feb 19, 2020Updated 6 years ago
- Efficient Bayesian estimation for GARCH-type models via Sequential Monte Carlo☆10Jun 11, 2019Updated 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
- DCC GARCH modeling in Python☆105Jan 15, 2020Updated 6 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.☆27Aug 28, 2017Updated 8 years ago
- A binary classification model is developed to predict the probability of paying back a loan by an applicant. Customer previous loan journ…☆22Sep 13, 2022Updated 3 years ago
- Julia GARCH package☆15Dec 28, 2025Updated 3 months ago
- Using DeepBSDE solver to price/hedge options & optimize portfolios under Black-Scholes, Heston and multiscale models.☆18Mar 20, 2020Updated 6 years ago
- Wordpress hosting with auto-scaling - Free Trial • AdFully Managed hosting for WordPress and WooCommerce businesses that need reliable, auto-scalable performance. Cloudways SafeUpdates now available.
- By combining GARCH(1,1) and LSTM model implementing predictions.☆59Dec 29, 2018Updated 7 years ago
- C++ option pricing library on vanillas & exotics, Python volatility calibration library☆21Aug 20, 2024Updated last year
- Python code for dynamic facctor model. (Preliminary and in progress)☆22Dec 2, 2017Updated 8 years ago
- GARCH and Multivariate LSTM forecasting models for Bitcoin realized volatility with potential applications in crypto options trading, hed…☆302Sep 10, 2021Updated 4 years ago
- ☆18Feb 13, 2022Updated 4 years ago
- Python code to perform risk-sensitive Reinforcement Learning with dynamic convex risk measures☆23Feb 21, 2024Updated 2 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆34Jul 28, 2020Updated 5 years ago
- Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimens…☆21Nov 12, 2020Updated 5 years ago
- AI enhanced automation tool for financial modelling and market analysis.☆12Sep 10, 2019Updated 6 years ago
- Managed hosting for WordPress and PHP on Cloudways • AdManaged hosting for WordPress, Magento, Laravel, or PHP apps, on multiple cloud providers. Deploy in minutes on Cloudways by DigitalOcean.
- Examples, tutorials, and how-to guides☆10Mar 23, 2026Updated 3 weeks ago
- A Deep Learning Framework for Neural Derivative Hedging☆31Feb 3, 2022Updated 4 years ago
- Automate daily stock market reports in PDF with diverse data sources using this open-source solution. Stay informed about global market t…☆18Aug 21, 2023Updated 2 years ago
- This repo is for my articles published on Medium.com☆16Mar 8, 2023Updated 3 years ago
- Weekly exercises of the course of Stochastic Methods for Finance.☆11Apr 22, 2025Updated 11 months ago
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈☆17Sep 25, 2021Updated 4 years ago
- ☆10Dec 17, 2018Updated 7 years ago
- ☆10Nov 4, 2018Updated 7 years ago
- The project to find correlation between tweets and future stock prices☆12Feb 28, 2023Updated 3 years ago
- Managed Kubernetes at scale on DigitalOcean • AdDigitalOcean Kubernetes includes the control plane, bandwidth allowance, container registry, automatic updates, and more for free.
- Boiler plate code for pytorch. Train/Validation loops, visualization etc. For research.☆11Jul 25, 2024Updated last year
- Project includes scripts to set up a securities master database with stock and ETF timeseries data☆11Apr 20, 2016Updated 9 years ago
- This notebook presents an example of the equal risk pricing framework with deep hedging from my paper Carbonneau, A. and Godin, F. (2020)…☆15Oct 15, 2021Updated 4 years ago
- A new and more effective method for dynamic hedging☆14Jan 11, 2018Updated 8 years ago
- 使用经典的AR、MA、ARMA、ARIMA、ARCH、GARCH时间序列模型进行模型的检验和拟合。The classic AR, MA, ARMA, ARIMA, ARCH, GARCH time series models are used to test and pre…☆16Jun 13, 2020Updated 5 years ago
- This Python script provides two main functionalities: stock and economic indicators analysis. It utilizes the Yahoo Finance to fetch hist…☆19Aug 21, 2023Updated 2 years ago
- Limit Orderbook CNN model implementation for ETH-BTC (buy-low-sell-high indicator)☆17Mar 20, 2023Updated 3 years ago