Traditionally, volatility is modeled using parametric models. This project focuses on predicting EUR/USD volatility using more flexible, machine-learning methods.
☆28Oct 20, 2021Updated 4 years ago
Alternatives and similar repositories for forecasting-realized-volatility-using-supervised-learning
Users that are interested in forecasting-realized-volatility-using-supervised-learning are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- R code and Realized Volatility (RV) series set for fitting NN-based-HAR models to multinational RV series.☆13Sep 8, 2018Updated 7 years ago
- By combining GARCH(1,1) and LSTM model implementing predictions.☆59Dec 29, 2018Updated 7 years ago
- A stock price prediction model based on ARMA and GARCH☆25Jun 21, 2024Updated 2 years ago
- HAR-RV Model For Realized Volatility☆32Feb 21, 2016Updated 10 years ago
- A repository to explore the concepts of applied econometrics in the context of financial time-series.☆41Feb 10, 2020Updated 6 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.
- Portfolio level (un)conditional risk measure estimation for backtesting using Vine Copula and ARMA-GARCH models.☆24Jan 22, 2024Updated 2 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
- Forex Historical Data for EURUSD☆14Jul 10, 2022Updated 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
- R wrapper for nowcast_lstm Python library. Long short-term memory neural networks for economic nowcasting.☆13May 2, 2024Updated 2 years ago
- Portfolio Optimisation is a fundamental problem in Financial Mathematics.The objective of this project is to explore the applicability of…☆13Nov 10, 2020Updated 5 years ago
- Model and replications scripts for the 2020 IMF Working Paper "Foreign Exchange Interventions Rules for Central Banks: A Risk-Based Frame…☆10Apr 20, 2023Updated 3 years ago
- Diebold & Yilmaz method, DCC-Garch method on composite indicies. 2009-2019☆23May 31, 2020Updated 6 years ago
- Project includes scripts to set up a securities master database with stock and ETF timeseries data☆11Apr 20, 2016Updated 10 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.
- Applying Hidden Markov Models to model Gold Intraday Volatility by detecting regime switches from low-vol regimes to high-vol☆16Feb 17, 2021Updated 5 years ago
- Python Data Mining Cookbook by Packt☆11Jan 14, 2021Updated 5 years ago
- CRAN R package: Impute missing values based on automated variable selection☆16Jul 21, 2021Updated 5 years ago
- Traditional methods for volatility forecast of multiscale and high-dimensional data like foreign-exchange and stock market volatility ha…☆11Jun 1, 2017Updated 9 years ago
- An R package for fitting parametric spatial and spatio-temporal models with INLA☆16May 20, 2017Updated 9 years ago
- ☆13Aug 31, 2025Updated 11 months ago
- heterogenous autoregressive (HAR) models of Bollerslev et al. (2016) implemented in R to forecast the intraday measure of realized volati…☆19Jul 19, 2021Updated 5 years ago
- Built quantitative models to measure value at risk (VaR) and Expected Shortfall (ES).☆13Aug 30, 2018Updated 7 years ago
- The project to find correlation between tweets and future stock prices☆12Feb 28, 2023Updated 3 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.
- Master Dissertation (2014): Backtesting Bootstrap Value-at-Risk and Expected Shortfall estimates in GARCH models☆14Mar 11, 2026Updated 5 months ago
- Semi-automatic analysis of a financial series using Python.☆13Nov 30, 2021Updated 4 years ago
- This project implements the following models to value options in Python: 1. Black-Scholes model 2. Bachelier model 3. Black76 model 4. Di…☆18Jan 21, 2019Updated 7 years ago
- LSTM stock prediction and backtesting☆14Jan 11, 2020Updated 6 years ago
- This Python script provides two main functionalities: stock and economic indicators analysis. It utilizes the Yahoo Finance to fetch hist…☆19Aug 21, 2023Updated 2 years ago
- An R package for forecasting volatility, using the Markov Switching Multifractal model.☆33Apr 27, 2017Updated 9 years ago
- 📉📈Bitcoin orderbook data collection and analysis. Just some fun data science stuff☆16Mar 23, 2026Updated 4 months 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 &…☆13Oct 21, 2021Updated 4 years ago
- This repository contains the code and related materials for my participation in the quantitative competition hosted by Tower Research Cap…☆13Mar 11, 2024Updated 2 years ago
- Managed hosting for WordPress and PHP on Cloudways • AdManaged hosting for WordPress, Magento, Laravel, or PHP apps, on multiple cloud providers. Deploy in minutes on Cloudways by DigitalOcean.
- ☆15May 6, 2021Updated 5 years ago
- The Value at Risk (VaR) calculation, Python version☆10Nov 1, 2019Updated 6 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆18Feb 21, 2020Updated 6 years ago
- Using three approaches to calculate Value at Risk and Conditional Value at Risk of a portfolio of assets.☆13Apr 24, 2020Updated 6 years ago
- ML pipeline for SmartBeta momentum factor on equity portfolio☆12Jan 25, 2016Updated 10 years ago
- This repository deals with the Monte Carlo Simulation in the financial markets. For more information on Monte Carlo visit here: http://ww…☆19Oct 22, 2016Updated 9 years ago
- ☆15Jan 19, 2020Updated 6 years ago