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updated 23 days ago

Dynamic Copula Toolbox 3.0 by Manthos Vogiatzoglou

Functions to estimate copula GARCH and copula Vine models. (copulas, toolbox, dependence)

ARMAeq(theta, data, spec)

CalcStErrors(MyFunc, theta, data, grad, hessian, spec, so...

CopulaGARCHLogL(theta,data,spec,solver)

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updated 3 months ago

optimal_weights.m by Christopher

Portfolio allocation with higher order moments under mean-variance, exponential, power utilities (higher order comoment..., portfolio asset alloc..., optimal portfolio wei...)

optimal_weights.m

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updated 6 months ago

MULTIVARIATE GARCH BASED ON PCA by Tal Shir

Generage Convariance mairix using PCA-GARCH model (garch, multivariate garch, correlation)

[Cov Corr PCov PCorr PRt Model PRterr NumFac COEFF,SCORE,...

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updated 12 months ago

GARCH,EGARCH,NAGARCH,GJR models and implicit VIX by Luis Espejo

Estimate GARCH/EGARCH/NAGARCH/GJR parameters from a time series of prices , rates and VIX value. (garch, vix, calibration)

Futures

Models

egarchmodel

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updated 2 years ago

Estimation value at risk by using Conditional Copula-GARCH by Ali Najjar

Estimating VaR (finance, garch, guassian copula)

varargout...

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updated 3 years ago

ARMAX-GARCH-K Toolbox (Estimation, Forecasting, Simulation and Value-at-Risk Applications) by Alexandros Gabrielsen

ARMAX-GARCH-K Toolbox (garch, gjrgarch, egarch)

[mu h]=egarchcore(parameters, data, ar, ma, x, p, q, y, m...

agarchcore(parameters, data, ar, ma, x, p, q, y, m, z, v,...

apgarchcore(parameters, data, ar, ma, x, p, q, y, m, z, v...

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updated 3 years ago

GARCH Tool by Phil Goddard

User Interface for fitting and evaluating a generic GARCH model using the Econometrics Toolbox. (garch, ar, ma)

GARCHTool

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updated 3 years ago

fitparp function by Ali Najjar

fitparp estimate the parameters of specified GARCH marginals models (garch, gjr, var)

varargout=fitparp(spec,r,s)

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updated 3 years ago

fitModelpp function by Ali Najjar

is modified of fitModel function in the Dynamic Copula 3.0 (garch, fitparp, gjr)

fitModelpp(spec, data, solver)

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updated 3 years ago

Estimation value at risk by using Conditional Copula-GARCH by Ali Najjar

This function estimate VaR of portfolio composed of two stocks return (var, finance, garch)

varargout=copula111cGarch111VaR(r,parameters,sigmaone,sig...

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updated 9 years ago

Simulation of stochastic processes and parameter estimation of 1-F interest rate models by Panagiotis Braimakis

Completed as a part of an assignment by Dionysia Angelakopoulou, Melina Esoglou & PB (finance, modeling, analysis)

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