Alternatives and similar repositories for mgarch:

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

• Topaceminem / DCC-GARCH
  DCC GARCH modeling in Python
  ☆89Updated 5 years ago
• jack-tobin / mvgarch
  Multivariate GARCH modelling in Python
  ☆16Updated 3 months ago
• werleycordeiro / Dynamic_Nelson_Siegel_Svensson_Kalman_Filter
  Python Package: Fitting and Forecasting the yield curve
  ☆36Updated 3 years ago
• Yizhan-Oliver-Shu / jump-models
  Statistical Jump Models in Python, with scikit-learn-style APIs
  ☆57Updated last month
• cvxgrp / cov_pred_finance
  ☆63Updated last week
• iankhr / armagarch
  ARMA-GARCH
  ☆93Updated last year
• QuantLet / MLvsGARCH
  ☆20Updated 2 weeks ago
• Jordylek / VolatilityIsMostlyPathDependent
  Code for the paper Volatility is (mostly) path-dependent
  ☆59Updated 10 months ago
• dkyol / Asset-Pricing-Model
  PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics
  ☆38Updated 4 years ago
• jasonzy121 / Deep_Learning_Asset_Pricing
  ☆68Updated 2 years ago
• Feng-CityUHK / EquityCharacteristics
  Calculate U.S. equity (portfolio) characteristics
  ☆86Updated 6 months ago
• RefaelLasry / EstimationOfCovarianceMatrix
  Estimation of the Covariance Matrix - linear and nonlinear shrinkage
  ☆22Updated 2 years ago
• BayerSe / VaR-Backtesting
  Implementation of a variety of Value-at-Risk backtests
  ☆36Updated 5 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
• maxlamberti / time-series-momentum
  🚂💨 Deep Momentum Networks for Time Series Strategies
  ☆114Updated 4 years ago
• stakahashy / fingan
  The implementation of "modeling financial time-series with generative adversarial networks"
  ☆62Updated last year
• tinoproductions / DirtyQuant
  Code that I show on my YouTube Channel
  ☆93Updated last year
• JellalYu / Multivariate-DCC-GARCH-model
  Multivariate DCC-GARCH model
  ☆15Updated 6 years ago
• zhanghaitao1 / awesome-quant-papers
  This repository hosts my reading notes for academic papers.
  ☆81Updated 3 years ago
• viniesposito / py-mlfactor
  Rewriting the code in "Machine Learning for Factor Investing" in Python
  ☆83Updated 4 years ago
• kieranjwood / x-trend
  X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies
  ☆74Updated 11 months ago
• duffau / RNN_GARCH
  Estimating Value-at-Risk with a recurrent neural network (Jordan type) GARCH model
  ☆66Updated 5 years ago
• johnsoong216 / pymarkowitz
  Mean Variance (Markowitz) Portfolio Optimization and Beyond
  ☆62Updated 9 months ago
• LouisChen1992 / Deep_Learning_in_Asset_Pricing
  https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3350138
  ☆123Updated 3 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
• MOSEK / PortfolioOptimization
  Material accompanying the MOSEK Portfolio Optimization Cookbook
  ☆79Updated 5 months ago
• yitaohu88 / Empirical-Method-in-Finance
  Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…
  ☆38Updated 4 years ago
• milenavuletic / VolGAN
  Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"
  ☆53Updated this week
• lich99 / Stock_CNN
  Implementation of (Re-)Imag(in)ing Price Trends
  ☆58Updated 2 years ago