Alternatives and similar repositories for mvgarch:

Users that are interested in mvgarch are comparing it to the libraries listed below

• werleycordeiro / Dynamic_Nelson_Siegel_Svensson_Kalman_Filter
  Python Package: Fitting and Forecasting the yield curve
  ☆36Updated 3 years ago
• Jordylek / VolatilityIsMostlyPathDependent
  Code for the paper Volatility is (mostly) path-dependent
  ☆59Updated 10 months ago
• srivastavaprashant / mgarch
  DCC-GARCH(1,1) for multivariate normal distribution.
  ☆58Updated last year
• Yizhan-Oliver-Shu / jump-models
  Statistical Jump Models in Python, with scikit-learn-style APIs
  ☆57Updated last month
• milenavuletic / VolGAN
  Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"
  ☆53Updated this week
• cvxgrp / cov_pred_finance
  ☆63Updated last week
• BayerSe / VaR-Backtesting
  Implementation of a variety of Value-at-Risk backtests
  ☆36Updated 5 years ago
• QuantLet / MLvsGARCH
  ☆20Updated 2 weeks ago
• wesley1001 / factorlab
  FactorLab is a python library which enables the transformation of raw data into informative alpha and risk factors used in the investment…
  ☆17Updated 2 years ago
• Topaceminem / DCC-GARCH
  DCC GARCH modeling in Python
  ☆89Updated 5 years ago
• talaikis / HAR-RVModelForRealizedVolatility
  HAR-RV Model For Realized Volatility
  ☆28Updated 8 years ago
• svenhsia / Calibrating-Rough-Volatility-Models-with-Deep-Learning
  This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.
  ☆45Updated 5 years ago
• matzhaugen / analytic_shrinkage
  Non-Linear Covariance Shrinkage
  ☆14Updated 3 years ago
• blaahhrrgg / equity-risk-model
  Attribution and optimisation using a multi-factor equity risk model.
  ☆31Updated last year
• RefaelLasry / EstimationOfCovarianceMatrix
  Estimation of the Covariance Matrix - linear and nonlinear shrinkage
  ☆22Updated 2 years ago
• emoen / Machine-Learning-for-Asset-Managers-Oslo-Bors
  ☆21Updated 3 years ago
• GustavoAlovisi / cvar_portfolio_optim
  ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.
  ☆28Updated 4 years ago
• nkonts / replication-the-virtue-of-complexity-in-return-prediction
  Replication of https://ssrn.com/abstract=3984925
  ☆27Updated 10 months ago
• hudson-and-thames / meta-labeling
  Code base for the meta-labeling papers published with the Journal of Financial Data Science
  ☆78Updated last year
• srich86 / Rough-Volatility-and-rBergomi-Model
  Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".
  ☆11Updated 2 years ago
• alexandrecarbonneau / Deep-Hedging-of-Long-Term-Financial-Derivatives
  This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.
  ☆26Updated 4 years ago
• fp1acm8 / Analysis-of-Financial-Time-Series
  Semi-automatic analysis of a financial series using Python.
  ☆11Updated 3 years ago
• blake-marsh / GARCH_replication
  Replication of key GARCH model papers
  ☆34Updated 8 years ago
• druce / portfolio_optimization
  Portfolio optimization with cvxopt
  ☆37Updated 3 weeks ago
• HoagieT / Inflation-Nowcast-Model
  A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.
  ☆13Updated 4 years ago
• thedatabeat / SVI
  ☆49Updated 7 years ago
• JellalYu / Multivariate-DCC-GARCH-model
  Multivariate DCC-GARCH model
  ☆15Updated 6 years ago
• scikit-portfolio / scikit-portfolio
  A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.
  ☆54Updated last year
• LSEG-API-Samples / Article.RD.Python.MarketRegimeDetectionUsingStatisticalAndMLBasedApproaches
  ☆35Updated last year
• bstemper / deep_rough_calibration
  C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.
  ☆37Updated 6 years ago