har-model

Julia package to generate, estimate, and forecast long memory processes

R code and Realized Volatility (RV) series set for fitting NN-based-HAR models to multinational RV series.

golang parsing and constructing HAR files

R package to estimate and forecast the HAR (Heterogeneous Autoregressive) model and its extensions.

Out-of-sample realized-volatility forecasting benchmark with HAR models, microstructure estimators, and Model Confidence Set testing.

Mini-Project Given during the Assignment 1 of ML Course of IITGN ES-335

Leakage-safe HAR/HARP realized-volatility forecasting with causal intraday-periodicity filtering and paired synthetic Monte Carlo evidence.

Bi-LSTM + Attention vs HAR — comparative study of deep learning and econometric models in realized volatility forecasting (SPY, EWG, EPOL, EEM)

Multi-agent LLM reading of financial news, measured against a HAR volatility baseline. Implementation of an M2 MIAGE ID dissertation (Universite Paris Dauphine-PSL).

Time-series econometrics project analysing IBM stock returns, ARMA-GARCH trading strategies, and HAR volatility forecasting using MATLAB.

HAR-RS-DOW variance forecasting for BTC-EUR with Value-at-Risk, Expected Shortfall (Basel III), option pricing, and live trading deployment on Bitvavo.

⚡ Institutional NIFTY Realized Volatility Forecasting (HAR, Cluster/Sector-HAR, PCA, LightGBM, Diebold-Mariano) & Options Short-Strangle Liquidity Screener using DuckDB, FastAPI & Streamlit