Traditionally, volatility is modeled using parametric models. This project focuses on predicting EUR/USD volatility using more flexible, machine-learning methods.
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Oct 20, 2021 - R
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realized-volatility
Here are 9 public repositories matching this topic...
Estimation of realized quantities
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Aug 26, 2019 - Python
R code and Realized Volatility (RV) series set for fitting NN-based-HAR models to multinational RV series.
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Sep 8, 2018 - R
Intraday volatility estimation using High-Frequency Financial Data
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Apr 1, 2023 - Jupyter Notebook
Replication of "Variance Risk Premia in the Interest Rate Swap market" paper (2016) by Desi Volker PhD
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Nov 18, 2021 - MATLAB
Code for the paper "Volatility is (mostly) path-dependent - Guyon, Lekeufack (2022)".
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Feb 14, 2024 - Jupyter Notebook
The workings for a very interesting exercise from the Econometrics of Financial Markets module of the MSc Quantitative Finance 2023/24 course at Bayes Business School (formerly Cass).
econometrics
stochastic-processes
stochastic-volatility-models
realized-volatility
volatility-modeling
stochastic-volatility
realised-volatility
intraday-econometrics
high-frequency-econometrics
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Apr 7, 2024 - Jupyter Notebook
R package to estimate and forecast the HAR (Heterogeneous Autoregressive) model and its extensions.
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Oct 27, 2023 - R
Calculation of stock realized variance based on trade data on WRDS cloud
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Dec 6, 2018 - SAS
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