GitHub topics: realized-volatility
csatzky/forecasting-realized-volatility-using-supervised-learning
Traditionally, volatility is modeled using parametric models. This project focuses on predicting EUR/USD volatility using more flexible, machine-learning methods.
Language: R - Size: 2.21 MB - Last synced at: 4 months ago - Pushed at: over 3 years ago - Stars: 22 - Forks: 5
JurajZelman/volatility-path-dependent
Code for the paper "Volatility is (mostly) path-dependent - Guyon, Lekeufack (2022)".
Language: Jupyter Notebook - Size: 2.14 MB - Last synced at: 10 months ago - Pushed at: 10 months ago - Stars: 2 - Forks: 0
danigiro/haR
R package to estimate and forecast the HAR (Heterogeneous Autoregressive) model and its extensions.
Language: R - Size: 20.5 KB - Last synced at: over 1 year ago - Pushed at: over 1 year ago - Stars: 0 - Forks: 0
yools56/Neural-Network-based-HAR-models
R code and Realized Volatility (RV) series set for fitting NN-based-HAR models to multinational RV series.
Language: R - Size: 22 MB - Last synced at: over 1 year ago - Pushed at: over 6 years ago - Stars: 9 - Forks: 6
BayerSe/RealizedQuantities
Estimation of realized quantities
Language: Python - Size: 10.5 MB - Last synced at: almost 2 years ago - Pushed at: over 5 years ago - Stars: 10 - Forks: 4
lcsrodriguez/HFT-IntradayVol-Estimation
Intraday volatility estimation using High-Frequency Financial Data
Language: Jupyter Notebook - Size: 12.8 MB - Last synced at: about 2 years ago - Pushed at: about 2 years ago - Stars: 1 - Forks: 0
raj-rao-rr/Variance-Risk-Premia
Replication of "Variance Risk Premia in the Interest Rate Swap market" paper (2016) by Desi Volker PhD
Language: MATLAB - Size: 94.7 MB - Last synced at: 5 months ago - Pushed at: over 3 years ago - Stars: 2 - Forks: 2
