garch

A Julia package for estimating ARMA-GARCH models.

MSGARCH R Package

ARMA-GARCH

The sample question for Interview a job in Binary options

The Tidymodels Extension for GARCH models

Thesis project about Unsupervised anomaly detection on the streaming time-series data of porfolio risk measures and returns.

Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation

Open souce quantitative finance models and algorithms with tutorials

Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations

Dynamic adjusted BL portfolio based on GARCH model

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

Utility routines for financial data analysis

C++ code: Manipulating data and extracting useful outputs

Analyze NASDAQ100 stock data. Used ARIMA + GARCH model and machine learning techniques Naive Bayes and Decision tree to determine if we go long or short for a given stock on a particular day

A custom-built pairs trading simulator in R to analyze different ways of coducting this type of trade on US Sector SPDRs. We assessed both commonly-used price and return correlations between assets as well as using model residuals for both ARIMA and GARCH (volatility) type time series modelling.

A fork of Cronos with a focus on being a Time Series class library.

Use ARIM, GARCH and VAR(Vector Autoregression Model) models to forecast the trend and value of the USD/EUR exchange rate.

Additional notes for A Study on the Negative Externality of Usd Liquidity - Based on the Asset Allocation Efficiency of Us Treasury Securities

Semi-automatic analysis of a financial series using Python.

Stock Prediction using LSTM, Linear Regression, ARIMA and GARCH models. Hyperparameter Optimization using Optuna framework for LSTM variants.