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
  ☆90Updated 5 years ago
• jack-tobin / mvgarch
  Multivariate GARCH modelling in Python
  ☆16Updated 5 months ago
• werleycordeiro / Dynamic_Nelson_Siegel_Svensson_Kalman_Filter
  Python Package: Fitting and Forecasting the yield curve
  ☆37Updated 4 years ago
• jasonzy121 / Deep_Learning_Asset_Pricing
  ☆71Updated 2 years ago
• nkonts / replication-the-virtue-of-complexity-in-return-prediction
  Replication of https://ssrn.com/abstract=3984925
  ☆33Updated last year
• Yizhan-Oliver-Shu / jump-models
  Statistical Jump Models in Python, with scikit-learn-style APIs
  ☆64Updated 3 months ago
• dkyol / Asset-Pricing-Model
  PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics
  ☆40Updated 4 years ago
• Jordylek / VolatilityIsMostlyPathDependent
  Code for the paper Volatility is (mostly) path-dependent
  ☆59Updated last year
• iankhr / armagarch
  ARMA-GARCH
  ☆95Updated last year
• Feng-CityUHK / EquityCharacteristics
  Calculate U.S. equity (portfolio) characteristics
  ☆86Updated 8 months ago
• milenavuletic / VolGAN
  Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"
  ☆67Updated last month
• tinoproductions / DirtyQuant
  Code that I show on my YouTube Channel
  ☆98Updated last year
• cvxgrp / cov_pred_finance
  ☆63Updated 2 months ago
• yitaohu88 / Empirical-Method-in-Finance
  Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…
  ☆39Updated 4 years ago
• HoagieT / Inflation-Nowcast-Model
  A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.
  ☆14Updated 4 years ago
• QuantLet / MLvsGARCH
  ☆20Updated 2 months ago
• RefaelLasry / EstimationOfCovarianceMatrix
  Estimation of the Covariance Matrix - linear and nonlinear shrinkage
  ☆22Updated 2 years ago
• mawicks / mvarch
  Multivariate Volatility Models (ARCH) for stock prices and other time series
  ☆19Updated 6 months ago
• DanielBok / muarch
  Multiple Univariate AR-GARCH Modelling with Copula marginals for simulation
  ☆20Updated 7 months ago
• tzhangwps / Turbulence-and-Systemic-Risk
  Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…
  ☆26Updated last month
• stakahashy / fingan
  The implementation of "modeling financial time-series with generative adversarial networks"
  ☆62Updated 2 years ago
• sapphire921 / midas_pro
  Python version of Mixed Data Sampling (MIDAS) regression (allow for multivariate MIDAS)
  ☆60Updated 3 years ago
• 1IfByLAN2IfByC / Diebold_BondYield
  Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.
  ☆26Updated 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.
  ☆46Updated 5 years ago
• blake-marsh / GARCH_replication
  Replication of key GARCH model papers
  ☆33Updated 9 years ago
• genekindberg / DFM-Nowcaster
  A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python
  ☆27Updated 3 years 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…
  ☆19Updated 3 years ago
• LouisChen1992 / Deep_Learning_in_Asset_Pricing
  https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3350138
  ☆128Updated 3 years ago
• LouisChen1992 / Deep_Learning_Asset_Pricing
  ☆30Updated 4 years ago
• sigurdroemer / rough_volatility
  The pricing models and neural network representations used in part one of the paper "Empirical analysis of rough and classical stochastic…
  ☆52Updated 2 years ago