egarch

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 vine copula study of dependence between 12 equity markets, with EGARCH marginals, R-vine copula, and Value at Risk backtesting in R.

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

GARCH and EGARCH volatility models for TypeScript

Out-of-sample volatility forecasting and Value-at-Risk backtesting for 14 currencies (2000–2026): GARCH/EGARCH/GJR vs. RiskMetrics, with QLIKE and Diebold-Mariano model comparison, Kupiec/Christoffersen VaR coverage tests, and sparse PCA on FX returns. Python.

GARCH estimation with BFGS

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

Financial time-series modelling in R: return diagnostics, ARMA/ARIMA, ARCH/GARCH, volatility forecasting and tail-risk analysis.

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

End-to-end GARCH-family volatility forecasting and 99% VaR backtesting on S&P 500 returns.

Time-series volatility modeling of Bank Mellat (Tehran Stock Exchange) using ARMA-EGARCH with Student-t innovations in R.

Indian stock market volatility & investor sentiment analyzer using asymmetric EGARCH modeling & Random Forest - Streamlit App

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

Point-in-time FF4 베타 위험예산과 EGARCH-X 레짐 분석, AI API 기반 비중 조절 백테스트

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.