ARMA-GARCH
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Oct 15, 2023 - Python
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gjr-garch
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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
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Feb 7, 2024 - Python
GJR-GARCH models with exogenous variance regressors
econometrics garch volatility-modeling gjr-garch garch-modeling exogenous-variables gjr-garch-x tarch-x
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Jan 12, 2026 - Python
Fit GARCH-in-mean models to daily asset class returns using the Python arch package
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Jan 16, 2026 - Python
GARCH estimation using the arch package
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Jul 7, 2025 - Python
This project showcases an advanced GARCH implementation in Python, APARCH(1,1). It determines the parameters best defining a stock's returns variance, and then uses these in a Monte Carlo simulation to simulate future returns with asymmetric volatility clustering.
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Sep 10, 2022 - Python
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