estimate_Qbar, validate_Qbar, make_N_matrix, estimate_Nbar, compute_delta def generate_dcc_data(T=500, N=3, a=0.05, b=0.85, g=0.03, seed=42): Simulate standardized residuals from a DCC process.

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 ...

Abstract: Cryptocurrency, a novel digital asset within the blockchain technology ecosystem, has recently garnered significant attention in the investment world. Despite its growing popularity, the ...

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 ...

Experts who say 'the yen's depreciation will not stop' and experts who say 'it has reached its limit' are looking at the same data and saying the exact opposite. That contradiction is not your fault; ...