Beliavsky/GARCH

Simulation and estimation of ARCH and GARCH processes, used to model the time-varying standard deviation (volatility) of asset returns, with conditional distributions such as the normal, Laplace, and Student t.

语言：Fortran · GitHub 星标：2 · Fork：0

话题：finance · gjr-garch · laplace-distribution · monte-carlo · nelder-mead · normal-distribution · probability-distribution · quantitative-finance

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