rafa-rod/Curso-Introducao-Risco-de-Mercado-em-Python---Financial-Risk-Academy

Curso ministrado por mim na Financial Risk Academy (FRA) sobre Introdução ao Risco de Mercado com Python

Size: 40.3 MB - Last synced: 17 days ago - Pushed: about 1 year ago - Stars: 2 - Forks: 1

EmanuelSommer/portvine

Portfolio level (un)conditional risk measure estimation for backtesting using Vine Copula and ARMA-GARCH models.

Language: R - Size: 32.2 MB - Last synced: 28 days ago - Pushed: 4 months ago - Stars: 19 - Forks: 4

wpwwhimself/master-thesis

[PL] My master thesis from PUEB

Language: TeX - Size: 680 KB - Last synced: about 1 month ago - Pushed: about 1 month ago - Stars: 0 - Forks: 0

jolly-io/Stock_Markets_Assymetric_Volatility_Spillover_Effects

I investigate the Asymmetric Volatility Spillover Effects within and across six major International stock markets. United States, Canada, France, Germany, Italy & Japan

Language: R - Size: 2.31 MB - Last synced: 2 months ago - Pushed: 2 months ago - Stars: 2 - Forks: 0

vladislavpyatnitskiy/Time-Series-Analysis-in-Finance

Time Series Analysis in Finance

Language: R - Size: 341 KB - Last synced: 3 months ago - Pushed: 3 months ago - Stars: 0 - Forks: 0

AlbertoAlmuinha/garchmodels

The Tidymodels Extension for GARCH models

Language: R - Size: 5.21 MB - Last synced: about 1 month ago - Pushed: almost 2 years ago - Stars: 35 - Forks: 9

Avinash793/time-series-analysis-examples

Detailed implementation of various time series analysis models and concepts on real datasets.

Language: Jupyter Notebook - Size: 3.15 MB - Last synced: 4 months ago - Pushed: 4 months ago - Stars: 0 - Forks: 0

danielegiulianini/inbestment-portfolio

A web-based and machine-learning fostered prototype tool to find your best financial investment portfolio

Language: Python - Size: 1.39 MB - Last synced: 4 months ago - Pushed: 4 months ago - Stars: 2 - Forks: 0

RAGHAV-N5/UnsupervisedLearningTrading-SentimentData-GarchModel

This is a project which uses Data Science, Machine learning to predict the stock movements, minimize the risk and maximise gains of portfolio using fama-french factors and many other models.Also the sentiment towards stocks are also monitored using sentiment analysis. Garch Model is used to predict the volatility and movements for intraday trading.

Language: Jupyter Notebook - Size: 6.78 MB - Last synced: 6 months ago - Pushed: 6 months ago - Stars: 0 - Forks: 0

hutch24/Econometrics_with_R

R을 이용한 경제 시계열 데이터 분석 / GARCH, Legendre models

Language: R - Size: 18.6 KB - Last synced: 6 months ago - Pushed: over 5 years ago - Stars: 2 - Forks: 1

chibui191/bitcoin_volatility_forecasting

GARCH and Multivariate LSTM forecasting models for Bitcoin realized volatility with potential applications in crypto options trading, hedging, portfolio management, and risk management

Language: Jupyter Notebook - Size: 105 MB - Last synced: 7 months ago - Pushed: over 2 years ago - Stars: 165 - Forks: 54

flexx3/Stock_Analytics_Forecast_app

The aim of this project is to help stocktraders determine suitable stock to enter by helping them keep track of its daily volatility and returns. The user selects a particular stock option which is automatically gotten from an API and stored in a sqlite database. using Garch(1,1) model to forecast volatility. fastapi and dash is used for deployment

Language: Jupyter Notebook - Size: 547 KB - Last synced: 7 months ago - Pushed: 7 months ago - Stars: 2 - Forks: 0

fbalensiefer/TimeSeries_R

Language: Jupyter Notebook - Size: 586 KB - Last synced: 7 months ago - Pushed: 8 months ago - Stars: 1 - Forks: 0

Nyarukotep/ARMA-GARCH-Model

A stock price prediction model based on ARMA and GARCH

Language: Jupyter Notebook - Size: 3.59 MB - Last synced: 8 months ago - Pushed: about 4 years ago - Stars: 12 - Forks: 3

DavidAlexanderMoe/Financial-Time-Series-Analysis-and-Forecasting-GARCH-models

Stock/Financial Time Series Analysis, Prediction and Forecasting using advanced Statistical methods and GARCH volatility-based models in R.

Language: R - Size: 558 KB - Last synced: 4 months ago - Pushed: 9 months ago - Stars: 1 - Forks: 0

wywongbd/EPFL-Time-Series

MATH-342 Time Series course taken at EPFL during Spring 17-18.

Language: R - Size: 8.24 MB - Last synced: 4 months ago - Pushed: about 5 years ago - Stars: 2 - Forks: 1

mahendranandi/NIFTY-Share-Market-Price-Prediction

Time series analysis on NIFTY data ( bank,oil,metal,it ) using GARCH model in R.

Language: Jupyter Notebook - Size: 4.61 MB - Last synced: 4 months ago - Pushed: almost 2 years ago - Stars: 3 - Forks: 4

aakashkh/Time-Series-Analysis

Learned time series analysis from Quantstart

Language: HTML - Size: 911 KB - Last synced: 2 months ago - Pushed: almost 8 years ago - Stars: 3 - Forks: 2

anthonyli01/Neural-Network-Approach-to-Implied-Volatility-Forecasting

Implied volatility is a key aspect when it comes to derivatives pricing. With the growing influence of machine learning in finance, I have investigated the use of LSTMs to forecast 1-day forward Implied Volatility.

Language: Jupyter Notebook - Size: 1.35 MB - Last synced: 9 months ago - Pushed: 9 months ago - Stars: 0 - Forks: 1

EmanuelSommer/PortvineThesis

Code for the case studies and theoretical visualizations for the master thesis 'Estimation and Backtesting of the Expected Shortfall and Value at Risk using Vine Copulas'

Language: HTML - Size: 34.7 MB - Last synced: 9 months ago - Pushed: 9 months ago - Stars: 0 - Forks: 0

Kqtan/Tesla-stock-GARCH-model

UECM3243 Analysis on Tesla stock using GARCH model

Language: R - Size: 11.7 KB - Last synced: 10 months ago - Pushed: over 1 year ago - Stars: 0 - Forks: 0

iskakovs/GARCH-models

Forecasting stock price volaitlity using GARCH models

Language: R - Size: 51.8 KB - Last synced: 10 months ago - Pushed: 10 months ago - Stars: 0 - Forks: 0

Alejandra-collab/R-for-finance

Language: R - Size: 27.3 KB - Last synced: 12 months ago - Pushed: 12 months ago - Stars: 0 - Forks: 0

AneesahG/stockreturns

Predictive analysis and GARCH model on stock returns. I demonstrate how to use the PACF (partial autocorrelation function) and ACF (autocorrelation function) on a non stationary time series.

Language: R - Size: 7.81 KB - Last synced: 4 months ago - Pushed: about 1 year ago - Stars: 1 - Forks: 0

vincent27hugh/Time_Series_ARIMA-GARCH

In this project, this research generally investigates the financial time series such as the price & return of NASDAQ Composite Index using ARIMA and GARCH methods.

Language: R - Size: 3.15 MB - Last synced: 10 months ago - Pushed: over 5 years ago - Stars: 7 - Forks: 2

Bturan19/Neural-Garch-Hybrid-Model-Implementation

By combining GARCH(1,1) and LSTM model implementing predictions.

Language: Jupyter Notebook - Size: 286 KB - Last synced: 12 months ago - Pushed: over 5 years ago - Stars: 38 - Forks: 14

LinhNguyen-MyLi/GARCH-model-forecast

Apply GARCH (1,1) model into forecasting S&P500. The topic is harder than though so it's still under construction but I'm working on it.

Language: Jupyter Notebook - Size: 109 KB - Last synced: about 1 year ago - Pushed: about 1 year ago - Stars: 0 - Forks: 0

mbidinlib/VaR_GARCH_Model

Modeling Value-at-Risk of a Mongolian Exchange Rae (MNT/USD) using the GARCH type model in Python

Language: HTML - Size: 653 KB - Last synced: about 1 year ago - Pushed: about 1 year ago - Stars: 0 - Forks: 0

Blue-Universe/Time-Series-Analysis-Statistical-Arbitrage

This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.

Language: Jupyter Notebook - Size: 2.04 MB - Last synced: about 1 year ago - Pushed: over 4 years ago - Stars: 39 - Forks: 12

benjaminweymouth/Time-Series-analysis-using-ARIMA

This repository holds 2 Jupyter notebooks and one csv file on Time Series analysis for the A Yen for the Future exercises. The purpose of this code is to demonstrate understanding of time series work in Python: ARMA, ARIMA and related concepts.

Language: Jupyter Notebook - Size: 3.49 MB - Last synced: 4 months ago - Pushed: over 2 years ago - Stars: 1 - Forks: 0

andreachello/Applied-Econometric-Time-Series

A repository to explore the concepts of applied econometrics in the context of financial time-series.

Language: Jupyter Notebook - Size: 3.6 MB - Last synced: about 1 year ago - Pushed: over 4 years ago - Stars: 19 - Forks: 5

namazlilkin/Time-Series-Analysis

Estimating the impact of Covid-19 pandemic on the Value-at-Risk of energy commodities (R)

Size: 257 KB - Last synced: about 1 year ago - Pushed: over 1 year ago - Stars: 1 - Forks: 0

mauricioalvaradoo/garch_model

Elaboración y evaluación de modelos ARCH y GARCH para las 5 primeras bolsas del mundo.

Language: Jupyter Notebook - Size: 3.41 MB - Last synced: about 1 year ago - Pushed: over 1 year ago - Stars: 0 - Forks: 0

lyx66/Value-at-Risk-VaR-Based-on-Historical-Simulation-in-Conjunction-with-GARCH-Model

Python code for rolling Value at Risk(VaR) of fiancial assets and some of economic time series, based on the procedure proposed by Hull & White(1998).

Language: Jupyter Notebook - Size: 4.75 MB - Last synced: about 1 year ago - Pushed: over 2 years ago - Stars: 6 - Forks: 3

VladOnMyOwn/ForecastingWithRandPython

Financial time series forecasting using R

Language: Jupyter Notebook - Size: 12.4 MB - Last synced: 4 months ago - Pushed: almost 2 years ago - Stars: 0 - Forks: 0

stxupengyu/time-series-analysis

使用经典的AR、MA、ARMA、ARIMA、ARCH、GARCH时间序列模型进行模型的检验和拟合。The classic AR, MA, ARMA, ARIMA, ARCH, GARCH time series models are used to test and predict the model.

Language: Jupyter Notebook - Size: 2.74 MB - Last synced: about 1 year ago - Pushed: almost 4 years ago - Stars: 8 - Forks: 2

sam14032000/market_linkages_mgarch-bekk

Study on volatility transmission and protuberance among developed and developing stock markets using multivariate GARCH

Language: Jupyter Notebook - Size: 160 KB - Last synced: about 1 year ago - Pushed: over 3 years ago - Stars: 3 - Forks: 0

minhtrang4078/portfolio-optimization-project

Language: Jupyter Notebook - Size: 4.54 MB - Last synced: about 1 year ago - Pushed: about 2 years ago - Stars: 0 - Forks: 0

TheodorEmanuelsson/BitcoinGARCH

Project in Statistics: Timeseries analysis (STAH14) at Lund University. The project it about Bitcoin price and returns, modelled using an AR-GARCH model.

Language: R - Size: 7.81 KB - Last synced: about 1 year ago - Pushed: over 3 years ago - Stars: 0 - Forks: 0

ddeMoivre/Time-Series-Analysis

In this project we fitt AR(p) model to US Treasury 10-Year Yield data, for different periodicity, and GARCH(1,1) model to EUR/US exchange rate return

Language: Jupyter Notebook - Size: 1.76 MB - Last synced: over 1 year ago - Pushed: over 2 years ago - Stars: 0 - Forks: 0

cairebarletta/var_garch_ibov

Artigo finalizado em 06/08/2021 como membro do Núcleo de Riscos & Derivativos, para o Clube de Finanças, Liga Acadêmica de Mercado Financeiro da UDESC & UFSC.

Language: R - Size: 372 KB - Last synced: about 1 year ago - Pushed: over 2 years ago - Stars: 0 - Forks: 0

GinIchimaru/VBA_Time_Series

Unit root tests, ARIMAX, GARCH models for the time being

Language: Visual Basic - Size: 61.5 KB - Last synced: about 1 year ago - Pushed: over 6 years ago - Stars: 6 - Forks: 2

maltseva88/Times-Series-Analysis

In this notebook, I've loaded historical Dollar-Yen exchange rate futures data. I've applied time series analysis and modeling to determine whether there is any predictable behavior.

Size: 5.49 MB - Last synced: about 1 year ago - Pushed: over 1 year ago - Stars: 0 - Forks: 1

maitree7/Time_Series_Analysis

Time Series Analysis - Yen for the Future

Language: Jupyter Notebook - Size: 6.68 MB - Last synced: about 1 year ago - Pushed: about 4 years ago - Stars: 0 - Forks: 0