GitHub / MajorLift / volatility-modeling-python-datasci
Undergraduate thesis, Seoul National University Dept. of Economics — "Modeling Volatility and Risk Spillover Between the Financial Markets of US and China Using GARCH Value-at-Risk Forecasting and Granger Causality."
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Forks: 4
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Size: 4.08 MB
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Created at: over 4 years ago
Updated at: 8 months ago
Pushed at: 10 months ago
Last synced at: 7 months ago
Topics: arima-forecasting, data-science, data-vizualization, financial-engineering, garch-model, granger-causality, jupyter-notebook, numpy, pandas, pyplot, python3, regression-models, research-paper, risk-modelling, scipy-stats, seaborn, statsmodels, time-series-analysis, value-at-risk, volatility-modeling