realized-volatility

There are 1 repository under realized-volatility topic.

• csatzky / forecasting-realized-volatility-using-supervised-learning

  Traditionally, volatility is modeled using parametric models. This project focuses on predicting EUR/USD volatility using more flexible, machine-learning methods.

  volatility-modelingmachine-learninggarch-modelseurusdrealized-volatilitymarket-risk-management
  Language:R 19

• BayerSe / RealizedQuantities

  Estimation of realized quantities

  realized-quantitiesrealized-volatilitytaq
  Language:Python 14

• yools56 / Neural-Network-based-HAR-models

  R code and Realized Volatility (RV) series set for fitting NN-based-HAR models to multinational RV series.

  timeserieseconometricsfinanceneural-networkhybrid-modelingrealized-volatilityhar-model
  Language:R 13

• lcsrodriguez / HFT-IntradayVol-Estimation

  Intraday volatility estimation using High-Frequency Financial Data

  data-analysishfthft-datamicrostructure-noisepythonqrealized-volatility
  Language:Jupyter Notebook 4

• raj-rao-rr / Variance-Risk-Premia

  Replication of "Variance Risk Premia in the Interest Rate Swap market" paper (2016) by Desi Volker PhD

  swaptionsimplied-volatilityrealized-volatilityvariance-risk-premia
  Language:MATLAB 2

• JurajZelman / volatility-path-dependent

  Code for the paper "Volatility is (mostly) path-dependent - Guyon, Lekeufack (2022)".

  predictionrealized-volatilityvolatility
  Language:Jupyter Notebook 1

• danigiro / haR

  R package to estimate and forecast the HAR (Heterogeneous Autoregressive) model and its extensions.

  financial-analysishar-modelrrealized-volatility
  Language:R 0

• emmajy-li / realized_variance

  Calculation of stock realized variance based on trade data on WRDS cloud

  realized-volatilitytradestockwrds
  Language:SAS