Alternatives and similar repositories for rmgarch:

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

• lucabarbaglia / t-VAR
  Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…
  ☆19Updated 4 years ago
• alexiosg / rugarch
  Univariate GARCH models in R
  ☆26Updated 3 months ago
• LeopoldoCatania / GAS
  GAS models
  ☆34Updated 3 years ago
• patrick-weiss / PortfolioSorts_NSE
  Code for "Methodological Uncertainty in Portfolio Sorts".
  ☆17Updated 10 months ago
• mpfarrho / mf-bavart
  MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"
  ☆32Updated 6 months ago
• dhopp1 / nowcasting_benchmark
  Accompaniment to nowcasting benchmark paper, illustrating how to estimate each of the methods examined in either R or Python.
  ☆44Updated last year
• pat-alt / deepvars
  Vector Autoregression augmented with deep learning.
  ☆16Updated last year
• MikeWolf007 / covShrinkage
  A package for shrinkage estimation of covariance matrices
  ☆12Updated last year
• vilkovgr / qmoms
  qmoms package to compute option-implied moments from surface data
  ☆16Updated 11 months ago
• EmanuelSommer / portvine
  Portfolio level (un)conditional risk measure estimation for backtesting using Vine Copula and ARMA-GARCH models.
  ☆22Updated last year
• blake-marsh / GARCH_replication
  Replication of key GARCH model papers
  ☆35Updated 9 years ago
• GustavoAlovisi / cvar_portfolio_optim
  ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.
  ☆29Updated 4 years ago
• hannes101 / TimeVaryingCointegration
  R Implementation of the Time Varying Cointegration by Bierens and Martins 2010
  ☆10Updated 9 years ago
• gabrielrvsc / ForecastingInflation
  ☆19Updated 2 years ago
• kvasilopoulos / awesome-var
  A curated list of Vector Autoregression resources
  ☆55Updated last year
• cran / rumidas
   This is a read-only mirror of the CRAN R package repository. rumidas — Univariate GARCH-MIDAS, Double-Asymmetric GARCH-MIDAS and MEM-MI…
  ☆11Updated last month
• yitaohu88 / Empirical-Method-in-Finance
  Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…
  ☆39Updated 4 years ago
• dhopp1 / nowcastDFM
  Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.
  ☆28Updated last year
• mauep2025 / Global-Oil-Market
  This code show the SVAR results from the paper: "Lutz Kilian, 2009. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply …
  ☆25Updated last year
• dppalomar / covFactorModel
  Covariance Matrix Estimation via Factor Models
  ☆33Updated 6 years ago
• jstriaukas / midasml
  midasml package is dedicated to run predictive high-dimensional mixed data sampling models
  ☆39Updated last year
• GiulioRossetti94 / PyBondLab
  ☆25Updated 2 months ago
• bsvars / bsvarSIGNs
  Bayesian SVARs with Sign, Zero, and Narrative Restrictions
  ☆17Updated 3 weeks ago
• mpiktas / midasr-user-guide
  ☆10Updated 9 years ago
• theisij / ml-and-the-implementable-efficient-frontier
  Code repository for "Machine Learning and the Implementable Efficient Frontier" by Jensen, Kelly, Malamud, and Pedersen (2024)
  ☆13Updated last month
• FRBNY-TimeSeriesAnalysis / rstarGlobal
  ☆18Updated 6 years ago
• sn-code-inside / gaussian-process-models-for-quantitative-finance
  ☆19Updated last month
• Reckziegel / Large-TVP-VAR
  Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.
  ☆22Updated 7 years ago
• barunik / sam
  Code to compute Spillover Asymmetry Measure (SAM) introduced in Baruník, J., Kočenda, E. and Vácha, L., 2016. Asymmetric connectedness on…
  ☆13Updated 6 years ago
• Tinkat / CoVaR
  CoVaR estimation via quantile regression
  ☆26Updated 7 years ago