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.
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Updated
Dec 7, 2018 - R
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.
R을 이용한 경제 시계열 데이터 분석 / GARCH, Legendre models
Time Series Analysis
MATH-342 Time Series course taken at EPFL during Spring 17-18.
Time Series Forecasting with ARIMA GARCH
Project in Statistics: Timeseries analysis (STAH14) at Lund University. The project it about Bitcoin price and returns, modelled using an AR-GARCH model.
Análise via modelos GARCHs para preços da PETR4 utilizando o R.
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.
Traditionally, volatility is modeled using parametric models. This project focuses on predicting EUR/USD volatility using more flexible, machine-learning methods.
The Tidymodels Extension for GARCH models
UECM3243 Analysis on Tesla stock using GARCH model
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.
Ce Travail vise à reproduire les méthodes statistiques utilisées dans un article de recherche qui a exploré l’impact de COVID-19 sur la volatilité de l’indice boursier marocain (MASI).
Forecasting stock price volaitlity using GARCH models
Stock/Financial Time Series Analysis, Prediction and Forecasting using advanced Statistical methods and GARCH volatility-based models in R.
Portfolio level (un)conditional risk measure estimation for backtesting using Vine Copula and ARMA-GARCH models.
Time Series Analysis in Finance
I investigate the Asymmetric Volatility Spillover Effects within and across six major International stock markets. United States, Canada, France, Germany, Italy & Japan
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