ARMA-GARCH

A Julia package for estimating ARMA-GARCH models.

Financial research data services for academics.

MSGARCH R Package

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The Tidymodels Extension for GARCH models

Open souce quantitative finance models and algorithms with tutorials

Thesis project about Unsupervised anomaly detection on the streaming time-series data of porfolio risk measures and returns.

Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation

Stock Prediction using LSTM, Linear Regression, ARIMA and GARCH models. Hyperparameter Optimization using Optuna framework for LSTM variants.

GARCH models estimated using autodiff.

Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations

R Finance packages not listed in the Empirical Finance Task View

Semi-automatic analysis of a financial series using Python.

Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option price and computations of pdf and cdf.

A fork of Cronos with a focus on being a Time Series class library.

Dynamic adjusted BL portfolio based on GARCH model

Financial engineering from a signal processing perspective

Utility routines for financial data analysis

C++ code: Manipulating data and extracting useful outputs