An R package for forecasting volatility, using the Markov Switching Multifractal model.
☆33Apr 27, 2017Updated 9 years ago
Alternatives and similar repositories for MSM
Users that are interested in MSM are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Playing around with time-varying parameter copulas☆12Jul 18, 2018Updated 7 years ago
- R Package for Simulating, Estimating and Diagnosing MGARCH (BEKK and mGJR) Processes☆16Dec 6, 2022Updated 3 years ago
- I wrote a Master's in Finance thesis on Monte Carlo simulation of the Multifractal Model of Asset Returns. This is a model developed in t…☆47Nov 26, 2020Updated 5 years ago
- D-vine quantile regression☆11Dec 9, 2025Updated 6 months ago
- Game simulator created for NCAA basketball (Based on team possession statistics)☆15Apr 25, 2022Updated 4 years ago
- Wordpress hosting with auto-scaling - Free Trial Offer • AdFully Managed hosting for WordPress and WooCommerce businesses that need reliable, auto-scalable performance. Cloudways SafeUpdates now available.
- An R package for using mixed-frequency GARCH models☆76Jan 13, 2026Updated 5 months ago
- Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations☆16May 16, 2021Updated 5 years ago
- Kernel density estimation based on vine copulas☆16Sep 4, 2025Updated 9 months ago
- 系统性风险指标计算☆10Apr 20, 2020Updated 6 years ago
- Bayesian Multivariate GARCH☆18May 20, 2026Updated last month
- R Code CoVaR with Copula☆76Sep 26, 2024Updated last year
- ☆16Jan 11, 2021Updated 5 years ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆28Jan 28, 2021Updated 5 years ago
- All code related to the paper: "A Copula Statistic for Measuring Nonlinear Multivariate Dependence"☆11Jun 5, 2022Updated 4 years ago
- Deploy to Railway using AI coding agents - Free Credits Offer • AdUse Claude Code, Codex, OpenCode, and more. Autonomous software development now has the infrastructure to match with Railway.
- Series of python scripts and MapReduce programs to extract, parse and display Reddit data☆11Oct 10, 2022Updated 3 years ago
- web visualizer for CFTC Commitment of Traders (COT) data☆14Feb 6, 2024Updated 2 years ago
- AWS Comprehend Client☆12Dec 9, 2025Updated 6 months ago
- Forecasting the S&P 500 ten years into the future using a variety of time series models☆20May 8, 2020Updated 6 years ago
- Diebold & Yilmaz method, DCC-Garch method on composite indicies. 2009-2019☆23May 31, 2020Updated 6 years ago
- This is a read-only mirror of the CRAN R package repository. rumidas — Univariate GARCH-MIDAS, Double-Asymmetric GARCH-MIDAS and MEM-MI…☆12Mar 18, 2025Updated last year
- R package for GARCH-MIDAS☆44Nov 27, 2019Updated 6 years ago
- Predicting the price movement of stocks using past prices and sentiment analysis scores from financial News.☆21Jan 16, 2023Updated 3 years ago
- A repository for portfolio allocation based on embedding data representation☆12Jan 27, 2025Updated last year
- 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.
- Various risk analysis projects in R, applying extreme value theory, copula modeling, and value-at-risk backtesting to real world stock da…☆15Jan 5, 2021Updated 5 years ago
- Functions, examples and data from the first and the second edition of "Numerical Methods and Optimization in Finance" by M. Gilli, D. Mar…☆38Dec 24, 2025Updated 6 months ago
- [deprecated/unsupported] Python wrapper for programmatically interacting with the MarketWatch stock trading game.☆13Apr 19, 2017Updated 9 years ago
- Forest products trade flows database☆13Apr 9, 2020Updated 6 years ago
- a wavelet-based multifractal image analysis tool implementing the WTMM (Wavelet Transform Modulus Maxima) method.☆11Feb 1, 2020Updated 6 years ago
- Unevenly Spaced Time Series in R☆15Apr 5, 2021Updated 5 years ago
- Mock pairs trading strategy and backtesting with Kalman iltering and pair selection using clustering and cointegration.☆15Aug 28, 2022Updated 3 years ago
- Realized Volatility Forecasting modeling☆20May 5, 2017Updated 9 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
- Managed Kubernetes at scale on DigitalOcean • AdDigitalOcean Kubernetes includes the control plane, bandwidth allowance, container registry, automatic updates, and more for free.
- Updated repository containing datafeed and strategy☆12Apr 9, 2015Updated 11 years ago
- Find Black-Scholes implied volatility☆21May 1, 2018Updated 8 years ago
- Automating the collection and analysis of historical stock data using python, and sending the user a report of their analysis by email.☆15Jul 4, 2020Updated 6 years ago
- Shiny Application for Commodity Trading☆18Jul 4, 2019Updated 7 years ago
- A Practical Application of Hidden Markov Model to Kalman Filter-Based Pairs Trading☆21May 4, 2021Updated 5 years ago
- Moving Averages and Other Rolling Operators for Unevenly Spaced Time Series in R☆16Aug 13, 2018Updated 7 years ago
- ☆15Feb 22, 2016Updated 10 years ago