Adds GARCH(1,1) model including forecasts of future volatility

JerBouma / FinanceToolkit

Transparent and Efficient Financial Analysis

https://www.jeroenbouma.com/projects/financetoolkit

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Adds GARCH(1,1) model including forecasts of future volatility #82

Closed northern-64bit closed 9 months ago

northern-64bit commented 10 months ago

Adds the GARCH(1,1) model and GARCH based volatility forecasts. This also easily allows for future improvements, for instance adding the general GARCH(p, q) model.

JerBouma commented 10 months ago

Looking good! I'll review this in the upcoming days.

JerBouma commented 10 months ago

Hi @northern-64bit , I tried to run get_garch but it returns the following, could you have a look what's going on?

JerBouma commented 9 months ago

Hi @northern-64bit, I've pushed in some changes. It's mostly about styling and some minor tidbits to the arguments. Let me know if you approve and I'll merge.

northern-64bit commented 9 months ago

It looks good! Your changes work well and improves the styling and the GARCH forecasts index! I think that it is ready to be merged :)

JerBouma commented 9 months ago

Awesome! 🚀