搜索资源列表
GARCH
- 对GARCH－t模型参数的估计,主要是运用已有的股票数据估计参数
GarchTest
- Demo of some Garch models, include ugarch, dcc-garch, ica-garch, and neural network garch, and ica-nn-garch. the last two model are proposaed by me
mrsgarchestfor_con_all
- markov switching garch
do_GARCH2
- Calculates various ARMA-GARCH models for a specified returns time series. Output: model matrix with tests on model residuals and AIC BIC criteria
STGARCH-Model-
- The smooth transition GARCH model: application to international stock indexes
garchuv
- RATS 时间序列GARCH,EGARCH,IGARCH,GARCH-M模型-time series GARCH model
DCCGARCH
- 多元garch估计，牛津大学sheppard教授写的五个m文件，用来估计参数。-dcc-garch model matlab code
Gray
- 使用Rats寫的馬可夫狀態轉換GARCH模型。本模型結合著名的狀態轉換及GARCH等財金時間序列特性。-regime swithcing GARCH model in Rats. This code combine both the famous financial time series properties of regime swithcing and GARCH model.
garch
- almost all garch functions
markov-garch
- 马尔科夫区制转移的GARCH模型，能够更好地刻画金融序列区制转移的问题-Markov switching garch
bodonglv
- 计算金融领域中的波动率，包括了历史波动率， ARCH求波动率，GARCH求波动率，滑动平均求波动率，并附带了一个评价的程序 。也附上了一份文档-Calculation of volatility in the financial sector, including the historical volatility, ARCH demand volatility, GARCH demand volatility, seeking moving average volatility, and co
GARCH
- 贝叶斯估计garch，比普通极大似然估计更稳健，不受样本限制(bayesian estimation of garch model)
term_eco_Rcodes
- GARCH-COPULA-EVT 模型的应用编程(Application programming of GARCH-COPULA-EVT model)
第2版课后习题工作文件
- 时间序列garch模型，平稳性，arch效应，garch族(garch model Egarch Igarch)
copula和多元GARCH的资料
- copula和多元GARCH的资料,包含多个变形的GARCH模型的变形程序(Data of Copula and multiple GARCH)
univariate
- GARCH模型的matlab程序，使用最大似然估计方法进行参数估计(The matlab program of the GARCH model uses maximum likelihood estimation to estimate the parameters.)
EViews code
- 在EVIEWS中用GARCH模型算VaR(在值风险)，计算failure rate，和做LRuc检测。(Var failure rate LRuc)
R
- 金融时间序列分析上证指数的GARCH模型R语言代码，可用于研究股票的波动性和预测。(The GARCH model R language code of the Shanghai Stock Exchange Index for financial time series analysis can be used to study the volatility and prediction of stocks.)
Copula-CoVaR R 操作说明 zhang
- GARCH-Copula-VaR R代码操作说明(GARCH-Copula-VaR R code)
R语言GARCH模型
- 用R语言建立GARCH模型，希望它可以帮助那些努力学习R的小伙伴们