GitHub / wongpc0817 / ComponentGARCH

In this project, we implemented both Heston-Nandi GARCH and Component Heston-Nandi GARCH process for Modelling VIX futures.

JSON API: http://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/wongpc0817%2FComponentGARCH
PURL: pkg:github/wongpc0817/ComponentGARCH

Stars: 1
Forks: 0
Open issues: 0

License: None
Language: Jupyter Notebook
Size: 604 KB
Dependencies parsed at: Pending

Created at: 8 months ago
Updated at: 3 months ago
Pushed at: 8 months ago
Last synced at: about 1 month ago

Topics: garch, option-pricing, python, statistical-models

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