ARCH models in Python

ARMA-GARCH

A Julia package for estimating ARMA-GARCH models.

Financial research data services for academics.

MSGARCH R Package

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The Tidymodels Extension for GARCH models

Open souce quantitative finance models and algorithms with tutorials

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

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

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

GARCH models estimated using autodiff.

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

Semi-automatic analysis of a financial series using Python.

Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option price and computations of pdf and cdf.

R Finance packages not listed in the Empirical Finance Task View

Dynamic adjusted BL portfolio based on GARCH model

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

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

项目主要构建了多混频Realized GARCH-MIDAS-X模型，结合社交媒体情绪和高频数据，与 不加社交媒体情绪指标的模型相比，加入后的模型显著提升了内地低碳市场波动预测的准确性。通过稳健 性检验，证明了研究结果的可靠性。该研究丰富了市场波动模型，并为低碳投资和宏观调控提供了参考。