This repo contains research and modeling for volatility forecasting using GARCH theory and other statistical techniques. Focused on futures instruments like MES, MYM, MGC, and FX (M6E), it supports ...
An interactive web dashboard for univariate GARCH(1,1) and multivariate DCC-GARCH(1,1) volatility modelling across user-selectable asset universes (11 S&P 500 sectors, stock/bond, NASDAQ vs SPX, ...
Abstract: Generalized autoregressive conditional heteroscedasticity (GARCH) models have long been considered as one of the most successful families of approaches for volatility modeling in financial ...
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