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GitHub topics: egarch

keblu/MSGARCH

MSGARCH R Package

Language: R - Size: 221 MB - Last synced at: 8 days ago - Pushed at: over 2 years ago - Stars: 80 - Forks: 29

zaniara3/DCC-EGARCH-Simulation

DCC-EGARCH with ARCH in Mean for two cases: "standard" and "one half"

Language: Python - Size: 18.6 KB - Last synced at: 9 months ago - Pushed at: 9 months ago - Stars: 0 - Forks: 0

boyla950/predicting-the-pound

MSc Finance dissertation project at Newcastle University. This project focused on forecasting the volatility of exchange rates involving the Great British Pound using EWMA, GARCH-type and Implied Volatility models.

Language: Python - Size: 2.16 MB - Last synced at: over 1 year ago - Pushed at: over 1 year ago - Stars: 3 - Forks: 0

greyfin2707/VaR-calculation

Calculation of Value at Risk using Generalized normal distribution, EGARCH and GARCH + EVT

Language: Jupyter Notebook - Size: 211 KB - Last synced at: almost 2 years ago - Pushed at: over 3 years ago - Stars: 4 - Forks: 0

Related Keywords
egarch 4 garch 3 finance 2 forecasting 2 gjr-garch 2 tgarch 2 python 1 simulation 1 ewma 1 implied-volatility 1 ols-regression 1 time-series-analysis 1 volatility-modeling 1 evt 1 garch-model 1 pyhton 1 risk-management 1 value-at-risk 1 estimation 1 dcc-egarch 1 dcc 1 volatility 1 variance 1 time-series 1 risk 1 r 1 forecasting-models 1 econometrics 1 arch 1