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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Updated
Mar 22, 2024 - R
I investigate the Asymmetric Volatility Spillover Effects within and across six major International stock markets. United States, Canada, France, Germany, Italy & Japan
Time Series Analysis in Finance
Portfolio level (un)conditional risk measure estimation for backtesting using Vine Copula and ARMA-GARCH models.
Stock/Financial Time Series Analysis, Prediction and Forecasting using advanced Statistical methods and GARCH volatility-based models in R.
Forecasting stock price volaitlity using GARCH models
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).
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.
UECM3243 Analysis on Tesla stock using GARCH model
The Tidymodels Extension for GARCH models
Traditionally, volatility is modeled using parametric models. This project focuses on predicting EUR/USD volatility using more flexible, machine-learning methods.
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.
Análise via modelos GARCHs para preços da PETR4 utilizando o R.
Project in Statistics: Timeseries analysis (STAH14) at Lund University. The project it about Bitcoin price and returns, modelled using an AR-GARCH model.
Time Series Forecasting with ARIMA GARCH
MATH-342 Time Series course taken at EPFL during Spring 17-18.
Time Series Analysis
R을 이용한 경제 시계열 데이터 분석 / GARCH, Legendre models
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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