Contents Menu Expand Light mode Dark mode Auto light/dark mode
frds
Logo
frds
  • Supported Measures
    • Absorption Ratio
    • Contingent Claim Analysis
    • Distress Insurance Premium
    • Kyle’s Lambda
    • Lerner Index (Banks)
    • Limit Order Book Slope
    • Long-Run Marginal Expected Shortfall (LRMES)
    • Marginal Expected Shortfall
    • Option Prices
    • Probability of Informed Trading (PIN)
    • Spread and Price Impact
    • SRISK
    • Systemic Expected Shortfall
    • Z-score
  • Algorithms
    • GARCH(1,1)
    • GARCH(1,1) - CCC
    • GARCH(1,1) - DCC
    • GJR-GARCH(1,1)
    • GJR-GARCH(1,1) - DCC
  • Datasets
    • Stock Returns

Other

  • GitHub
  • Mingze Gao
Back to top

Algorithms#

  • GARCH(1,1)
  • GARCH(1,1) - CCC
  • GARCH(1,1) - DCC
  • GJR-GARCH(1,1)
  • GJR-GARCH(1,1) - DCC
Next
GARCH(1,1)
Previous
Z-score
Copyright © 2023 - 2024, Mingze Gao
Made with Sphinx and @pradyunsg's Furo