A Julia package for estimating ARMA-GARCH models.
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Updated
Feb 23, 2024 - Julia
A Julia package for estimating ARMA-GARCH models.
ARMA-GARCH
MSGARCH R Package
次元期权应征面试题范例。
The Tidymodels Extension for GARCH models
Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation
Open souce quantitative finance models and algorithms with tutorials
Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations
Stock Prediction using LSTM, Linear Regression, ARIMA and GARCH models. Hyperparameter Optimization using Optuna framework for LSTM variants.
Dynamic adjusted BL portfolio based on GARCH model
Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option price and computations of pdf and cdf.
Utility routines for financial data analysis
Unit root tests, ARIMAX, GARCH models for the time being
Analyze NASDAQ100 stock data. Used ARIMA + GARCH model and machine learning techniques Naive Bayes and Decision tree to determine if we go long or short for a given stock on a particular day
C++ code: Manipulating data and extracting useful outputs
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