MSGARCH R Package

predict the future volatility of the NASDAQ index using various econometric and machine learning models, including ARCH, GARCH, EGARCH, SVM, and ANN

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.

Calculation of Value at Risk using Generalized normal distribution, EGARCH and GARCH + EVT

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.

GARCH and EGARCH volatility models for TypeScript

DCC-EGARCH with ARCH in Mean for two cases: "standard" and "one half"

Compute theoretical autocorrelations of squared and absolute returns of various GARCH and SV processes

Presentación de la Comunicación Oral del LII Coloquio Argentino de Estadística de la Sociedad Argentina de Estadística

An EGARCH-JDM-MVO pipeline built from scratch in C++ and Python.

Parametric risk modelling of Indian equity indices using eGARCH + 12 distributions, with VaR and CTE applied to Market-Linked Debentures.

This project analyzes Bitcoin price volatility using time series analysis techniques including ARCH, GARCH, and EGARCH models in RStudio. The goal was to identify statistical models capable of capturing volatility clustering and forecasting future market behavior.

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.

GARCH estimation with BFGS