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updated 1 month 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 8 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 almost 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 2 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 almost 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 almost 4 years ago

Dynamic Copula Toolbox 3.0 by Manthos Vogiatzoglou

Functions to estimate copula GARCH and copula Vine models. (dependence, garch, copula vines)

ARMAeq(theta, data, spec)

CopulaGARCHLogL(theta,data,spec,solver)

CopulaToolboxTutorial

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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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