Replication of key GARCH model papers
☆37Mar 10, 2016Updated 10 years ago
Alternatives and similar repositories for GARCH_replication
Users that are interested in GARCH_replication are comparing it to the libraries listed below
Sorting:
- An R package for using mixed-frequency GARCH models☆75Jan 13, 2026Updated 2 months ago
- BSc Thesis on the Garch-Midas model☆29Feb 18, 2022Updated 4 years ago
- mgarch Package for R-Project☆16Apr 28, 2014Updated 11 years ago
- Sparse regression of mixed-frequency VectorAutoregressions☆10May 11, 2022Updated 3 years ago
- Comparison of Markov-Switching GARCH models, namely symmetric GARCH, EGARCH, GJR-GARCH, performances in Value-at-Risk forecasting.☆28Aug 28, 2017Updated 8 years ago
- Multiple Univariate AR-GARCH Modelling with Copula marginals for simulation☆20Sep 3, 2024Updated last year
- Exploratory notebook . Techniques used: FFT, ARIMA, GARCH, Monte Carlo Simulations, fbprophet, LSTM, WaveNet.☆11Jul 11, 2022Updated 3 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
- Replication codes for several of my projects☆15Mar 31, 2025Updated 11 months ago
- R package for GARCH-MIDAS☆44Nov 27, 2019Updated 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
- The Value at Risk (VaR) calculation, Python version☆11Nov 1, 2019Updated 6 years ago
- ☆11Feb 19, 2025Updated last year
- Inspired by Hillebrand & Medeiros (2009) and Corsi (2009), I put neural networks in a High frequency environment, and tested the performa…☆18Sep 11, 2020Updated 5 years ago
- MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"☆37Oct 30, 2025Updated 4 months ago
- ☆12Sep 11, 2023Updated 2 years ago
- • Visualised trend and seasonality & conducted tests for checking stationarity of Time series for predicting volatility using GARCH Model…☆16Jan 11, 2023Updated 3 years ago
- ☆11Feb 11, 2020Updated 6 years ago
- 量化研究-多因子模型☆23Jul 26, 2023Updated 2 years ago
- Julia GARCH package☆14Dec 28, 2025Updated 2 months ago
- ☆22Jan 6, 2023Updated 3 years ago
- Elements of Financial Risk Management in Python☆12Jan 10, 2021Updated 5 years ago
- Replication code for Addressing COVID-19 Outliers in BVARs with Stochastic Volatility“ by Carriero, Clark, Marcellino and Mertens (2021),…☆11Jan 2, 2023Updated 3 years ago
- ☆109Feb 20, 2026Updated last month
- Financial risk analysis on a stocks portfolio through the VaR (Value at Risk), using Monte Carlo Simulation and Multiple Linear Regressio…☆22Nov 3, 2020Updated 5 years ago
- ☆109Dec 16, 2021Updated 4 years ago
- A Python implementation of a Hybrid LSTM-GARCH model for volatility forecasting☆52Oct 18, 2022Updated 3 years ago
- An implementation of the Heterogeneous AutoRegressive model from Corsi(2009)☆19Jan 8, 2023Updated 3 years ago
- BlackScholes Model, with Montecarlo implmented in python with TensorFlow☆18Jan 5, 2016Updated 10 years ago
- Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.☆30May 23, 2023Updated 2 years ago
- Multivariate GARCH modelling in Python☆16Nov 3, 2024Updated last year
- 从沪深300指数的日行情数据构建特征,用SVM预测指数的涨跌方向☆14Oct 16, 2018Updated 7 years ago
- This repository implements a Diffusion Factor Model for financial data.☆44Nov 6, 2025Updated 4 months ago
- MATLAB Toolkit that accompanies Novy-Marx and Velikov (2023)☆45Jan 26, 2023Updated 3 years ago
- Modeling the allocation of resources to markets based on the restraints of objective functions☆14Mar 15, 2016Updated 10 years ago
- Financial Econometrics module (MSc level)☆23Sep 23, 2021Updated 4 years ago
- ☆13Aug 31, 2025Updated 6 months ago
- The project is advised by Professor Robert Engle in his FINANCIAL ECONOMETRICS PhD course. I made comparison between the performance of d…☆10Sep 14, 2018Updated 7 years ago
- Semi-automated investing strategy (risk parity)☆29Oct 27, 2016Updated 9 years ago