jhihan / GARCH_Neural_Network
The estimation of GARCH parameters using neural networks
☆10Updated 5 years ago
Alternatives and similar repositories for GARCH_Neural_Network:
Users that are interested in GARCH_Neural_Network are comparing it to the libraries listed below
- Univariate_ARIMA_models, ARCH/GARCH Volatility Forecasting models, VAR model for macro fundamentals forecasts☆11Updated 3 years ago
- By combining GARCH(1,1) and LSTM model implementing predictions.☆56Updated 6 years ago
- Reproduce the result of the paper "Deep Learning with Long Short-Term Memory Networks for Financial Market Prediction"☆19Updated 4 years ago
- TensorFlow implementation of the HARNet model for realized volatility forecasting.☆25Updated last year
- Some code related to the VaR matheology.☆9Updated 6 years ago
- This paper aims to explore the time series’ proprieties of the features extracted by using the Principal Component Analysis (PCA) techniq…☆16Updated 5 years ago
- Implementation of a variety of Value-at-Risk backtests☆35Updated 5 years ago
- Library for stochastic process simulation☆14Updated last year
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆13Updated 4 years ago
- 多因子选股框架☆21Updated 4 years ago
- 基于机器学习的多因子研究框架☆14Updated 4 years ago
- Using three approaches to calculate Value at Risk and Conditional Value at Risk of a portfolio of assets.☆13Updated 4 years ago
- A CNN + Auto-Encoder Approach for Predicting Financial Time-Series☆11Updated 5 years ago
- Non-Linear Covariance Shrinkage☆14Updated 3 years ago
- Inspired by Hillebrand & Medeiros (2009) and Corsi (2009), I put neural networks in a High frequency environment, and tested the performa…☆18Updated 4 years ago
- A python-based implementation of the HAR model to forecast realized volatility on SPY.☆16Updated 4 years ago
- Comparison of Markov-Switching GARCH models, namely symmetric GARCH, EGARCH, GJR-GARCH, performances in Value-at-Risk forecasting.☆25Updated 7 years ago
- simulation of Heston model by Monte-Carlo method☆9Updated 4 months ago
- Estimating Value-at-Risk with a recurrent neural network (Jordan type) GARCH model☆66Updated 5 years ago
- This is a VaR and AVaR calculator for portfolio only with stocks using Monte Carlo Method.☆17Updated 7 years ago
- Using Extreme Value Theory (EVT) to Estimate Value-at-Risk (VaR) and Expected shortfall (ES)☆10Updated 3 years ago
- Scalable implementation of Lee / Mykland (2012), Ait-Sahalia / Jacod (2012) and Ait-Sahalia / Jacod / Li (2012) Jump tests for noisy hig…☆13Updated 2 years ago
- Stock Market Prediction on High-Frequency Data Using soft computing based AI models☆18Updated 4 months ago
- Stock risk premium prediction via FM/ EXT/ GBDT/ XGB/LBGM. Mengxuan Chen's graduation thesis at WHU.☆13Updated 5 years ago
- Market Risk Management with Time Series Prediction of Stock Market Trends using ARMA, ARIMA, GARCH regression models and RNN for time ser…☆21Updated 7 years ago
- Evaluation of Hybrid MODWT-MARS framework for financial time series forecasting☆18Updated 3 months ago
- Financial risk analysis on a stocks portfolio through the VaR (Value at Risk), using Monte Carlo Simulation and Multiple Linear Regressio…☆19Updated 4 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆37Updated 4 years ago
- Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation☆19Updated 6 years ago
- Stock Price Prediction with PCA and LSTM☆14Updated 3 years ago