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. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- An R package for using mixed-frequency GARCH models☆76Jan 13, 2026Updated 4 months ago
- BSc Thesis on the Garch-Midas model☆29Feb 18, 2022Updated 4 years ago
- Conditional Autoregressive Value-at-Risk: all flavors of CAViaR.☆10Jan 15, 2018Updated 8 years ago
- mgarch Package for R-Project☆16Apr 28, 2014Updated 12 years ago
- Sparse regression of mixed-frequency VectorAutoregressions☆10May 11, 2022Updated 4 years ago
- End-to-end encrypted email - Proton Mail • AdSpecial offer: 40% Off Yearly / 80% Off First Month. All Proton services are open source and independently audited for security.
- Comparison of Markov-Switching GARCH models, namely symmetric GARCH, EGARCH, GJR-GARCH, performances in Value-at-Risk forecasting.☆27Aug 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.☆12Jul 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☆16Apr 16, 2026Updated last month
- 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 8 years ago
- The Value at Risk (VaR) calculation, Python version☆10Nov 1, 2019Updated 6 years ago
- ☆11Feb 19, 2025Updated last year
- Virtual machines for every use case on DigitalOcean • AdGet dependable uptime with 99.99% SLA, simple security tools, and predictable monthly pricing with DigitalOcean's virtual machines, called Droplets.
- DCC BEKK Factor Copula MSV☆14Mar 3, 2018Updated 8 years ago
- 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"☆38Oct 30, 2025Updated 7 months ago
- ☆12Sep 11, 2023Updated 2 years ago
- 大类资产配置☆11Jun 3, 2021Updated 5 years ago
- ☆11Feb 11, 2020Updated 6 years ago
- 量化研究-多因子模型☆23Jul 26, 2023Updated 2 years ago
- ☆22Jan 6, 2023Updated 3 years ago
- Elements of Financial Risk Management in Python☆12Jan 10, 2021Updated 5 years ago
- 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.
- Advanced Python visualization library for Association Rules☆10Sep 24, 2021Updated 4 years ago
- Replication code for Addressing COVID-19 Outliers in BVARs with Stochastic Volatility“ by Carriero, Clark, Marcellino and Mertens (2021),…☆12Jan 2, 2023Updated 3 years ago
- ☆20Mar 21, 2019Updated 7 years ago
- ☆112Feb 20, 2026Updated 3 months ago
- 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
- Frequent subgraph mining using FFSM algorithm, C++☆11Jan 15, 2018Updated 8 years ago
- ☆113Dec 16, 2021Updated 4 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
- GPUs on demand by Runpod - Special Offer Available • AdRun AI, ML, and HPC workloads on powerful cloud GPUs—without limits or wasted spend. Deploy GPUs in under a minute and pay by the second.
- A Python implementation of a Hybrid LSTM-GARCH model for volatility forecasting☆53Oct 18, 2022Updated 3 years ago
- Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.☆28May 23, 2023Updated 3 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.☆48Nov 6, 2025Updated 7 months ago
- MATLAB Toolkit that accompanies Novy-Marx and Velikov (2023)☆49Jan 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