Estimating Value-at-Risk with a recurrent neural network (Jordan type) GARCH model
☆72Sep 15, 2019Updated 6 years ago
Alternatives and similar repositories for RNN_GARCH
Users that are interested in RNN_GARCH are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- ARMA-GARCH☆109Oct 15, 2023Updated 2 years ago
- By combining GARCH(1,1) and LSTM model implementing predictions.☆59Dec 29, 2018Updated 7 years ago
- DCC GARCH modeling in Python☆108Jan 15, 2020Updated 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
- Using Bidirectional Generative Adversarial Networks to estimate Value-at-Risk for Market Risk Management using TensorFlow.☆98Feb 15, 2023Updated 3 years ago
- AI Agents on DigitalOcean Gradient AI Platform • AdBuild production-ready AI agents using customizable tools or access multiple LLMs through a single endpoint. Create custom knowledge bases or connect external data.
- Multivariate DCC-GARCH model☆16Sep 27, 2018Updated 7 years ago
- ☆14Sep 16, 2022Updated 3 years ago
- Built quantitative models to measure value at risk (VaR) and Expected Shortfall (ES).☆13Aug 30, 2018Updated 8 years ago
- Code used to implement various stochastic intensity models for univariate and multivariate credit risk models.☆20Nov 10, 2013Updated 12 years ago
- Dynamic adjusted BL portfolio based on GARCH model☆10Aug 23, 2018Updated 8 years ago
- Implementing a comprehensive Quantitative Momentum Strategy to optimize portfolio allocation. The strategy integrates two key financial i…☆16Jul 29, 2023Updated 3 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
- Manuel Touyaa's porfotlio of Python projects/assignments for Finance Market Risk.☆15Mar 5, 2022Updated 4 years ago
- ☆15Feb 22, 2016Updated 10 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.
- Master Dissertation (2014): Backtesting Bootstrap Value-at-Risk and Expected Shortfall estimates in GARCH models☆14Mar 11, 2026Updated 5 months ago
- Python-based portfolio / stock widget which sources data from Yahoo Finance and calculates different types of Value-at-Risk (VaR) metrics…☆124Feb 17, 2021Updated 5 years ago
- This is a VaR and AVaR calculator for portfolio only with stocks using Monte Carlo Method.☆17Nov 28, 2017Updated 8 years ago
- Developing hybrid deep learning models by integrating Neural networks with (s,e,t)GARCH models to predict volatility in the Indian Commod…☆19May 21, 2021Updated 5 years ago
- The Value at Risk (VaR) calculation, Python version☆10Nov 1, 2019Updated 6 years ago
- Time-Series Momentum Strategies☆12Jul 20, 2018Updated 8 years ago
- Multiple Univariate AR-GARCH Modelling with Copula marginals for simulation☆20Sep 3, 2024Updated last year
- Univariate_ARIMA_models, ARCH/GARCH Volatility Forecasting models, VAR model for macro fundamentals forecasts☆16Jan 25, 2021Updated 5 years ago
- Build custom model types for estimation.☆12Jul 27, 2026Updated last month
- 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.
- Market Risk Management with Time Series Prediction of Stock Market Trends using ARMA, ARIMA, GARCH regression models and RNN for time ser…☆24Aug 12, 2017Updated 9 years ago
- Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations☆16Aug 21, 2026Updated last week
- ☆28Jun 23, 2026Updated 2 months ago
- Hedging portfolios with reinforcement learning.☆36Aug 2, 2017Updated 9 years ago
- Implementation of a variety of Value-at-Risk backtests☆43May 25, 2019Updated 7 years ago
- The asymptotic normal distribution properties☆16Mar 24, 2018Updated 8 years ago
- R package for sparse VAR estimation☆13Aug 4, 2026Updated 3 weeks ago
- Use this to create your own stock tracker dashboard☆10Sep 18, 2021Updated 4 years ago
- Loan Risk Prediction Neural Network and API☆18Oct 23, 2020Updated 5 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.
- Path Integral simulation with OpenCL bindings to Python☆12Jun 2, 2021Updated 5 years ago
- Implements risk measures for (financial) networks, such as DebtRank, Impact Susceptibility, Impact Diffusion and Impact Fluidity.☆76Mar 5, 2020Updated 6 years ago
- Monte Carlo simulation to option pricing in CUDA☆11Apr 29, 2017Updated 9 years ago
- DCC-GARCH(1,1) for multivariate normal distribution.☆61Sep 12, 2023Updated 2 years ago
- Find Black-Scholes implied volatility☆21May 1, 2018Updated 8 years ago
- This project aims to predict VOLATILITY S&P 500 (^VIX) time series using LSTM.☆102Nov 4, 2020Updated 5 years ago
- We investigate the connectedness of GDP growth risk over 12 OECD member countries. Understanding the Growth-at-Risk of GDP has been a pop…☆10Jun 8, 2020Updated 6 years ago