MSGARCH R Package
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Updated
Dec 5, 2022 - R
MSGARCH R Package
Calculation of Value at Risk using Generalized normal distribution, EGARCH and GARCH EVT
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 repository of codes includes in the R and Python programs used in the six chapters of my published book titled "Analysis and Forecasting of Financial Time Series: Selected Cases". The book is published by Cambridge Scholars Publishing, New Casle upon Tyne, United Kindoam, in 2022.
In our fourth semester in ISI, Kolkata, we did this project titled "Econometric Analysis on NASDAQ 100". The aim of the project was to implement Econometric tools to extract insights from NASDAQ 100.
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