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.
finance simulation monte-carlo probability-distribution quantitative-finance nelder-mead volatility normal-distribution t-distribution laplace-distribution volatility-modeling gjr-garch
-
Updated
Feb 18, 2025 - Fortran