MSGARCH R Package

The Tidymodels Extension for GARCH models

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

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

GARCH models estimated using autodiff.

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.

[R] Statistical analysis of financial data conducted in R

Microsoft's closing stock price prediction by ARIMA, Decision Tree and GARCH models in R Studio

Undergraduate Final Project on behalf of Radisha Fanni Sianti

An analysis of the use of garch models to predict future volatility of United States Treasury Yields

Current repository depicts R usability for time series modeling. Number of scripts represents preprocessing time series, modeling AR, MA, ARIMA with seasonality, ARCH, GARCH, VAR, VECM including statistical testing process and robust check.

Aplicación de distintos modelos de series temporales a las salidas de pasajeros del Aeropuerto de Menorca.

Project for the Advanced time-series analysis 2022/23 class at Faculty of Economic Sciences, University of Warsaw. In this project we build several GARCH-class models and compare their performance in assessing risk of a cryptocurrency portfolio.

analysis for term paper in iø8304 financial econometrics at ntnu

Specify and fit GARCH models to forecast time-varying volatility and value-at-risk.

This repository contains source code implementation of assignments for NTU's MSAI course AI6123 on Time Series Analysis (2019 Sem 2).

In our fourth semester in ISI, Kolkata, we did this project titled "Econometric Analysis on NASDAQ 100". The aim of the project was to implement Econometric tools to extract insights from NASDAQ 100.