tgarch

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keblu / MSGARCH

MSGARCH R Package

finance r time-series arch risk econometrics forecasting variance volatility garch forecasting-models gjr-garch egarch tgarch

Updated Dec 5, 2022
R

boyla950 / predicting-the-pound

Star

MSc Finance dissertation project at Newcastle University. This project focused on forecasting the volatility of exchange rates involving the Great British Pound using EWMA, GARCH-type and Implied Volatility models.

forecasting ols-regression garch time-series-analysis implied-volatility ewma volatility-modeling gjr-garch egarch tgarch

Updated Feb 7, 2024
Python

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