jhihan / GARCH_Neural_Network
The estimation of GARCH parameters using neural networks
☆9Updated 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
Sorting:
- Univariate_ARIMA_models, ARCH/GARCH Volatility Forecasting models, VAR model for macro fundamentals forecasts☆11Updated 4 years ago
- Implementation of a variety of Value-at-Risk backtests☆36Updated 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
- High Frequency Jump Prediction Project☆36Updated 4 years ago
- TensorFlow implementation of the HARNet model for realized volatility forecasting.☆28Updated last year
- By combining GARCH(1,1) and LSTM model implementing predictions.☆57Updated 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
- Stock risk premium prediction via FM/ EXT/ GBDT/ XGB/LBGM. Mengxuan Chen's graduation thesis at WHU.☆14Updated 5 years ago
- Collection of numerical methods for high frequency data, in Python notebooks☆13Updated 4 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
- 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.☆15Updated 4 years ago
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆22Updated 2 years ago
- Scalable implementation of Lee / Mykland (2012), Ait-Sahalia / Jacod (2012) and Ait-Sahalia / Jacod / Li (2012) Jump tests for noisy hig…☆14Updated 3 years ago
- Multi-Factor model with regression method☆9Updated 6 years ago
- Mean-Variance Optimization using DL (pytorch)☆31Updated 3 years ago
- 多因子选股框架☆22Updated 4 years ago
- ☆18Updated 8 years ago
- Using three approaches to calculate Value at Risk and Conditional Value at Risk of a portfolio of assets.☆14Updated 5 years ago
- 基于机器学习的多因子研究框架☆14Updated 4 years ago
- Code and documents from Econ 690 at Duke☆9Updated 2 years ago
- This is a VaR and AVaR calculator for portfolio only with stocks using Monte Carlo Method.☆18Updated 7 years ago
- This paper aims to explore the time series’ proprieties of the features extracted by using the Principal Component Analysis (PCA) techniq…☆18Updated 5 years ago
- In this repository, the goal is to predict the tick direction of a stock based on its current order book and trade data. A LSTM Neural Ne…☆19Updated 4 years ago
- Evaluation of Hybrid MODWT-MARS framework for financial time series forecasting☆18Updated 7 months ago
- detecting regime of financial market☆36Updated 2 years ago
- (Work In Progress) Implementation of "Financial Time Series Prediction Using Deep Learning"☆16Updated 7 years ago
- ARIMA & GARCH models for stock price prediction☆18Updated 4 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Updated 3 years ago
- HAR-RV Model For Realized Volatility☆29Updated 9 years ago