anhdanggit / volatility-garch-VaR
Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation
☆21Updated 6 years ago
Alternatives and similar repositories for volatility-garch-VaR:
Users that are interested in volatility-garch-VaR are comparing it to the libraries listed below
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆29Updated 4 years ago
- Using three approaches to calculate Value at Risk and Conditional Value at Risk of a portfolio of assets.☆14Updated 4 years ago
- Multivariate DCC-GARCH model☆15Updated 6 years ago
- dynamic copula dcc garch estimate bank systematic risk☆19Updated 3 years ago
- ☆18Updated 2 years ago
- Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (2009).☆12Updated 4 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆38Updated 4 years ago
- The Value at Risk (VaR) calculation, Python version☆11Updated 5 years ago
- Replication of key GARCH model papers☆33Updated 9 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆26Updated 3 weeks ago
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆14Updated 4 years ago
- BSc Thesis on the Garch-Midas model☆26Updated 3 years ago
- Inspired by Hillebrand & Medeiros (2009) and Corsi (2009), I put neural networks in a High frequency environment, and tested the performa…☆18Updated 4 years ago
- Replication and extension of paper on Conditional Value at Risk (CoVaR) by Adrian and Brunnermeier.☆20Updated 4 years ago
- Python Package: Fitting and Forecasting the yield curve☆36Updated 4 years ago
- The asymptotic normal distribution properties☆15Updated 6 years ago
- Method of calculating VaR ( Value at risk) using ARMA-GJR_GARCH and COPULA method☆13Updated 3 years ago
- DCC GARCH modeling in Python☆90Updated 5 years ago
- Comparison of Markov-Switching GARCH models, namely symmetric GARCH, EGARCH, GJR-GARCH, performances in Value-at-Risk forecasting.☆25Updated 7 years ago
- Diebold & Yilmaz method, DCC-Garch method on composite indicies. 2009-2019☆19Updated 4 years ago
- A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python☆26Updated 3 years ago
- ☆23Updated 7 years ago
- CoVaR estimation via quantile regression☆26Updated 7 years ago
- heterogenous autoregressive (HAR) models of Bollerslev et al. (2016) implemented in R to forecast the intraday measure of realized volati…☆14Updated 3 years ago
- Python code for rolling Value at Risk(VaR) of fiancial assets and some of economic time series, based on the procedure proposed by Hull &…☆13Updated 3 years ago
- FactorLab is a python library which enables the transformation of raw data into informative alpha and risk factors used in the investment…☆18Updated 3 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Updated 3 years ago
- An economic forecasting model based on Factor Augmented VAR (FAVAR). The FAVAR approach is superior than classic VAR as it incorporates a…☆14Updated 4 years ago
- The course, authored by Prof. Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading)…☆13Updated 6 years ago
- TensorFlow implementation of the HARNet model for realized volatility forecasting.☆26Updated last year