Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation
☆25Apr 27, 2018Updated 8 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. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Using three approaches to calculate Value at Risk and Conditional Value at Risk of a portfolio of assets.☆13Apr 24, 2020Updated 6 years ago
- The Value at Risk (VaR) calculation, Python version☆10Nov 1, 2019Updated 6 years ago
- Comparison of Markov-Switching GARCH models, namely symmetric GARCH, EGARCH, GJR-GARCH, performances in Value-at-Risk forecasting.☆27Aug 28, 2017Updated 9 years ago
- Financial risk analysis on a stocks portfolio through the VaR (Value at Risk), using Monte Carlo Simulation and Multiple Linear Regressio…☆21Nov 3, 2020Updated 5 years ago
- [Quantitative Finance 2019] Sovereign Risk Zones in Europe During and After the Debt Crisis☆12May 12, 2020Updated 6 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.
- Diebold & Yilmaz method, DCC-Garch method on composite indicies. 2009-2019☆23May 31, 2020Updated 6 years ago
- R Code CoVaR with Copula☆78Sep 26, 2024Updated 2 years ago
- Replication and extension of paper on Conditional Value at Risk (CoVaR) by Adrian and Brunnermeier.☆26Nov 14, 2020Updated 5 years ago
- Systemic Risk - CoVaR☆14May 3, 2020Updated 6 years ago
- Using K-Means algorithm for customer segmentation due to credit card behavior☆21Jun 14, 2021Updated 5 years ago
- R code and Realized Volatility (RV) series set for fitting NN-based-HAR models to multinational RV series.☆13Sep 8, 2018Updated 8 years ago
- Built quantitative models to measure value at risk (VaR) and Expected Shortfall (ES).☆13Aug 30, 2018Updated 8 years ago
- An R package for using mixed-frequency GARCH models☆75Jan 13, 2026Updated 8 months ago
- TensorFlow implementation of the HARNet model for realized volatility forecasting.☆29Jul 16, 2023Updated 3 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.
- TVP panel data model featuring time-varying network dependence introduced in "Bayesian state-space modeling for analyzing heterogeneous n…☆15Apr 17, 2021Updated 5 years ago
- Python Jupyter notebook for sharpe ratio based cryptocurrency portfolio optimization using Monte-Carlo method☆18Mar 11, 2021Updated 5 years ago
- Python script to download all historical FX data from www.truefx.com☆10May 22, 2023Updated 3 years ago
- A Model to Predict any kind of price such as Crypto price or Stock price using LSTM network and python☆25Jan 16, 2022Updated 4 years ago
- Multivariate DCC-GARCH model☆16Sep 27, 2018Updated 8 years ago
- ☆10Jan 26, 2025Updated last year
- TENET: Tail-Event driven NETwork Risk☆52Oct 21, 2025Updated 11 months ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆75Feb 19, 2020Updated 6 years ago
- Estimating Dynamic Common Correlated Effects Models in Stata☆32Aug 15, 2025Updated last year
- Deploy on Railway without the complexity - Free Credits Offer • AdConnect your repo and Railway handles the rest with instant previews. Quickly provision container image services, databases, and storage volumes.
- an R package for testing, estimating and evaluating the Panel Smooth Transition Regression (PSTR) model.☆24Jul 6, 2026Updated 3 months ago
- R package to estimate time-varying coefficient regressions☆21Mar 11, 2026Updated 7 months ago
- Cointegration Test in python☆28Mar 19, 2019Updated 7 years ago
- Practical applications towards risk-centric portfolio management☆45May 16, 2016Updated 10 years ago
- Julia GARCH package☆16Dec 28, 2025Updated 9 months ago
- Apply Box&Tiao to generate stationary price spread series in steel industry commodity futures market for pair trading☆14Dec 11, 2022Updated 3 years ago
- ☆16Jan 19, 2020Updated 6 years ago
- ☆20Jan 26, 2025Updated last year
- Calculate technical indicators from historical stock data Create features and targets out of the historical stock data. Prepare features …☆34Jul 2, 2026Updated 3 months ago
- Serverless GPU API endpoints on Runpod - Get Bonus Credits • AdSkip the infrastructure headaches. Auto-scaling, pay-as-you-go, no-ops approach lets you focus on innovating your application.
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆28Jan 28, 2021Updated 5 years ago
- dynamic copula dcc garch estimate bank systematic risk☆20Dec 29, 2021Updated 4 years ago
- ☆11Sep 25, 2018Updated 8 years ago
- Trading Strategies based on the gap between Implied and Realized Volatility: A machine learning approach☆15Nov 10, 2019Updated 6 years ago
- 量化研究-多因子模型☆23Jul 26, 2023Updated 3 years ago
- TVP VAR Workshop☆13Feb 26, 2020Updated 6 years ago
- Model and replications scripts for the 2020 IMF Working Paper "Foreign Exchange Interventions Rules for Central Banks: A Risk-Based Frame…☆11Apr 20, 2023Updated 3 years ago