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

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

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

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

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.

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

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

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.

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, EGARCH and GJR-GARCH by MLE from scratch — QMLE errors, vol cones, term structure, and an out-of-sample study on why GARCH(1,1) is hard to beat.