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☆103Oct 15, 2023Updated 2 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
- DCC GARCH modeling in Python☆105Jan 15, 2020Updated 6 years ago
- Using Bidirectional Generative Adversarial Networks to estimate Value-at-Risk for Market Risk Management using TensorFlow.☆98Feb 15, 2023Updated 3 years ago
- Multivariate DCC-GARCH model☆16Sep 27, 2018Updated 7 years ago
- Efficient Bayesian estimation for GARCH-type models via Sequential Monte Carlo☆10Jun 11, 2019Updated 6 years ago
- ☆14Sep 16, 2022Updated 3 years ago
- Dynamic adjusted BL portfolio based on GARCH model☆10Aug 23, 2018Updated 7 years ago
- Code used to implement various stochastic intensity models for univariate and multivariate credit risk models.☆21Nov 10, 2013Updated 12 years ago
- Traditional methods for volatility forecast of multiscale and high-dimensional data like foreign-exchange and stock market volatility ha…☆11Jun 1, 2017Updated 8 years ago
- A Python implementation of a Hybrid LSTM-GARCH model for volatility forecasting☆51Oct 18, 2022Updated 3 years 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
- ☆14Feb 22, 2016Updated 10 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 4 years ago
- Master Dissertation (2014): Backtesting Bootstrap Value-at-Risk and Expected Shortfall estimates in GARCH models☆14Mar 11, 2026Updated last week
- Univariate_ARIMA_models, ARCH/GARCH Volatility Forecasting models, VAR model for macro fundamentals forecasts☆15Jan 25, 2021Updated 5 years ago
- The Value at Risk (VaR) calculation, Python version☆11Nov 1, 2019Updated 6 years ago
- Time-Series Momentum Strategies☆12Jul 20, 2018Updated 7 years ago
- FastAPI Socket.io with first-class documentation using AsyncAPI☆17Apr 29, 2025Updated 10 months ago
- Using three approaches to calculate Value at Risk and Conditional Value at Risk of a portfolio of assets.☆14Apr 24, 2020Updated 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
- Build custom model types for estimation.☆13Apr 17, 2025Updated 11 months ago
- Hedging portfolios with reinforcement learning.☆36Aug 2, 2017Updated 8 years ago
- Multiple Univariate AR-GARCH Modelling with Copula marginals for simulation☆20Sep 3, 2024Updated last year
- Talk Materials for "Convex Optimization for Finance"☆30Dec 8, 2022Updated 3 years ago
- Implementation of a variety of Value-at-Risk backtests☆43May 25, 2019Updated 6 years ago
- R package for sparse VAR estimation☆13Feb 5, 2026Updated last month
- ☆28Updated this week
- Official Tensorflow Code for the paper "Overcomplete Deep Subspace Clustering Networks" - WACV 2021☆13Nov 23, 2020Updated 5 years ago
- Implements risk measures for (financial) networks, such as DebtRank, Impact Susceptibility, Impact Diffusion and Impact Fluidity.☆77Mar 5, 2020Updated 6 years ago
- This function optimizes portfolio weights based on a user-specified weighted linear combination of the Sortino ratio, Sharpe ratio, avera…☆11Apr 13, 2020Updated 5 years ago
- The asymptotic normal distribution properties☆15Mar 24, 2018Updated 8 years ago
- Python Interface for querying WRDS datasets (CRSP, COMPUSTAT)☆11Mar 15, 2014Updated 12 years ago
- Find Black-Scholes implied volatility☆21May 1, 2018Updated 7 years ago
- Code and example associated with the paper 'Model Predictive Control of Nonlinear Latent Force Models: A Scenario-based Approach' by T. W…☆11Jun 22, 2022Updated 3 years ago
- DCC-GARCH(1,1) for multivariate normal distribution.☆62Sep 12, 2023Updated 2 years ago
- Dynamic Nelson Siegel Model☆14Mar 6, 2019Updated 7 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 5 years ago
- Loan Risk Prediction Neural Network and API☆17Oct 23, 2020Updated 5 years ago