GARCH and Multivariate LSTM forecasting models for Bitcoin realized volatility with potential applications in crypto options trading, hedging, portfolio management, and risk management

By combining GARCH(1,1) and LSTM model implementing predictions.

This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.

The Tidymodels Extension for GARCH models

A repository to explore the concepts of applied econometrics in the context of financial time-series.

Traditionally, volatility is modeled using parametric models. This project focuses on predicting EUR/USD volatility using more flexible, machine-learning methods.

使用经典的AR、MA、ARMA、ARIMA、ARCH、GARCH时间序列模型进行模型的检验和拟合。The classic AR, MA, ARMA, ARIMA, ARCH, GARCH time series models are used to test and predict the model.

Python code for rolling Value at Risk(VaR) of fiancial assets and some of economic time series, based on the procedure proposed by Hull & White(1998).

Portfolio level (un)conditional risk measure estimation for backtesting using Vine Copula and ARMA-GARCH models.

This repository of codes includes in the R and Python programs used in the six chapters of my published book titled "Analysis and Forecasting of Financial Time Series: Selected Cases". The book is published by Cambridge Scholars Publishing, New Casle upon Tyne, United Kindoam, in 2022.

Time series analysis on NIFTY data ( bank,oil,metal,it ) using GARCH model in 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.

A stock price prediction model based on ARMA and GARCH

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

Learned time series analysis from Quantstart

MATH-342 Time Series course taken at EPFL during Spring 17-18.

Implied volatility is a key aspect when it comes to derivatives pricing. With the growing influence of machine learning in finance, I have investigated the use of LSTMs to forecast 1-day forward Implied Volatility.

In this notebook, I've loaded historical Dollar-Yen exchange rate futures data. I've applied time series analysis and modeling to determine whether there is any predictable behavior.

R을 이용한 경제 시계열 데이터 분석 / GARCH, Legendre models