Projects

Updated 9 months ago

ARCHModels • Rank 11.7 • Science 77%

A Julia package for estimating ARMA-GARCH models.

arch econometrics finance garch julia julia-language regression statistical-models statistics timeseries volatility

Updated 9 months ago

https://github.com/bashtage/arch • Rank 24.1 • Science 49%

ARCH models in Python

adf arch bootstrap df-gls dickey-fuller finance financial-econometrics forecasting garch model-confidence-set multiple-comparison-procedures phillips-perron reality-check risk spa time-series unit-root variance volatility

Updated 9 months ago

tsgarch • Science 26%

GARCH models estimated using autodiff.

garch r

Updated 9 months ago

https://github.com/aarjaneiro/cronoseries • Science 26%

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

arima arma csharp garch netcore sarima time-series

Updated 9 months ago

tsmarch • Science 13%

Feasible Multivariate GARCH Models

econometrics finance garch multivariate-timeseries time-series

ecosyste.ms

Data

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Open Source Science

ARCHModels • Rank 11.7 • Science 77%

https://github.com/bashtage/arch • Rank 24.1 • Science 49%

tsgarch • Science 26%

https://github.com/aarjaneiro/cronoseries • Science 26%

tsmarch • Science 13%