ARMA-GARCH
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Updated
Oct 15, 2023 - Python
ARMA-GARCH
MSc Finance dissertation project at Newcastle University. This project focused on forecasting the volatility of exchange rates involving the Great British Pound using EWMA, GARCH-type and Implied Volatility models.
This project showcases an advanced GARCH implementation in Python, APARCH(1,1). It determines the parameters best defining a stock's returns variance, and then uses these in a Monte Carlo simulation to simulate future returns with asymmetric volatility clustering.
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