multivariate-garch

Here are 3 public repositories matching this topic...

Beliavsky / LLM-chats

Links to my LLM chats in finance, econometrics and statistics, and programming

finance probability-distribution mathematical-statistics volatility garch laplace-distribution lognormal-distribution stochastic-volatility hyperbolic-distribution chatgpt multivariate-garch

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Python

👁 BayesianECCCGARCH

donotdespair / BayesianECCCGARCH

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Bayesian Estimation and Inference for the ECCC-GARCH Model in R

rstats bayesian granger-causality multivariate-garch

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TeX

chirindaopensource / how_trade_policy_uncertainty_alters_stock_tbill_relationships

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End-to-End Python implementation of Lacava's (2026) "Shifting Correlations" research. Features Numba-compiled GJR-GARCH volatility filtering, augmented DCC-X framework with exogenous Trade Policy Uncertainty integration, structural break testing, out-of-sample GMV optimization, and Model Confidence Set validation.

python jupyter-notebook econometrics portfolio-optimization quantitative-finance numba asset-pricing risk-management time-series-analysis financial-econometrics model-confidence-set volatility-modeling garch-models multivariate-garch dynamic-conditional-correlation structural-breaks trade-policy-uncertainty correlation-modeling covariance-forecasting safe-haven-assets

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Jupyter Notebook

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