DCC-GARCH(1,1) for multivariate normal distribution.
☆61Sep 12, 2023Updated 3 years ago
Alternatives and similar repositories for mgarch
Users that are interested in mgarch are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- DCC GARCH modeling in Python☆111Jan 15, 2020Updated 6 years ago
- Multivariate GARCH modelling in Python☆16Jul 1, 2026Updated 4 months ago
- Multiple Univariate AR-GARCH Modelling with Copula marginals for simulation☆20Sep 3, 2024Updated 2 years ago
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆24Jul 17, 2022Updated 4 years ago
- ARMA-GARCH☆110Oct 15, 2023Updated 3 years ago
- Deploy on Railway without the complexity - Free Credits Offer • AdConnect your repo and Railway handles the rest with instant previews. Quickly provision container image services, databases, and storage volumes.
- The lite version of the package pydlm. A lite yet powerful Bayesian dynamic modeling library☆12Jul 5, 2018Updated 8 years ago
- Multivariate Volatility Models (ARCH) for stock prices and other time series☆20Sep 15, 2024Updated 2 years ago
- Variance Gamma distribution (Python): pdf, cdf, rand and fit.☆11Mar 8, 2018Updated 8 years ago
- ☆10Nov 4, 2018Updated 8 years ago
- Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…☆17Jul 3, 2021Updated 5 years ago
- Statistical volatility (also called historic or realized volatility) is a measurement of how much the price or returns of stock value. It…☆10Dec 7, 2022Updated 3 years ago
- Using Extreme Value Theory (EVT) to Estimate Value-at-Risk (VaR) and Expected shortfall (ES)☆12Jun 22, 2021Updated 5 years ago
- Loose collection of Jupyter notebooks, mostly for my blog☆28Nov 10, 2024Updated last year
- Volatility Spillovers based on Diebold and Yilmaz 2012☆19Mar 16, 2022Updated 4 years ago
- Deploy to Railway using AI coding agents - Free Credits Offer • AdUse Claude Code, Codex, OpenCode, and more. Autonomous software development now has the infrastructure to match with Railway.
- Non-Linear Covariance Shrinkage☆16Jan 1, 2022Updated 4 years ago
- Measure market risk by CAViaR model☆16Dec 15, 2024Updated last year
- ☆20Jan 26, 2025Updated last year
- Survey of neural network methods for derivatives pricing and risks☆14Jul 5, 2022Updated 4 years ago
- A modification of traditional random forest for time-series forecasting☆15Apr 16, 2024Updated 2 years ago
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈☆17Sep 25, 2021Updated 5 years ago
- Semi-analytical dynamic mean-variance allocation and terminal-wealth risk under regime-switching jump-diffusions☆14Updated this week
- This repository contains a collection of functions to evaluate investment strategies regarding multiple testing concerns.☆11Apr 28, 2025Updated last year
- Talk Materials for "Convex Optimization for Finance"☆29Dec 8, 2022Updated 3 years ago
- Bare Metal GPUs on DigitalOcean Gradient AI • AdPurpose-built for serious AI teams training foundational models, running large-scale inference, and pushing the boundaries of what's possible.
- A powerful & convenient package for a two-step estimation method of the Factor augmented VAR (FAVAR) model, which is mainly based on RATS…☆20Aug 26, 2024Updated 2 years ago
- Fast-Vollib: Super Fast Kernel-Fused and Optimised Black-Scholes Implied Volatility Calculator for Options☆33Oct 18, 2026Updated 2 weeks ago
- Calibration and pricing options in Heston model☆14Dec 24, 2017Updated 8 years ago
- Transfer entropy (conditional mutual information) estimators for the Julia language☆13Nov 6, 2022Updated 4 years ago
- Estimate parameters of BEKK model☆13Mar 1, 2018Updated 8 years ago
- Multivariate GARCH Models☆19Sep 11, 2026Updated last month
- Estimating Value-at-Risk with a recurrent neural network (Jordan type) GARCH model☆73Sep 15, 2019Updated 7 years ago
- Lasso Quantile Regression☆30Jun 15, 2026Updated 4 months ago
- Matteo Iacoviello's personal webpage☆15Updated this week
- Managed Kubernetes at scale on DigitalOcean • AdDigitalOcean Kubernetes includes the control plane, bandwidth allowance, container registry, automatic updates, and more for free.
- Large Deviations for volatility options☆13Feb 28, 2019Updated 7 years ago
- A Deep Learning Framework for Neural Derivative Hedging☆31Feb 3, 2022Updated 4 years ago
- A repository to explore the concepts of applied econometrics in the context of financial time-series.☆41Feb 10, 2020Updated 6 years ago
- Estimation of realized quantities☆18Aug 26, 2019Updated 7 years ago
- Implementing a first hurdle for expected returns☆19Updated this week
- simulation of Heston model by Monte-Carlo method☆12Aug 26, 2024Updated 2 years ago
- Creating, training and backtesting of VaR and ES models based on Importance Sampling☆11Apr 14, 2023Updated 3 years ago