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.
forecasting
ols-regression
garch
time-series-analysis
implied-volatility
ewma
volatility-modeling
gjr-garch
egarch
tgarch
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Updated
Feb 7, 2024 - Python