{"id":19471516,"url":"https://github.com/majorlift/volatility-modeling-python-datasci","last_synced_at":"2025-04-25T12:31:03.431Z","repository":{"id":104522165,"uuid":"395770073","full_name":"MajorLift/volatility-modeling-python-datasci","owner":"MajorLift","description":"Undergraduate thesis, Seoul National University Dept. of Economics — \"Modeling Volatility and Risk Spillover Between the Financial Markets of US and China Using GARCH Value-at-Risk Forecasting and Granger Causality.\"","archived":false,"fork":false,"pushed_at":"2025-01-15T17:46:08.000Z","size":4280,"stargazers_count":21,"open_issues_count":0,"forks_count":4,"subscribers_count":2,"default_branch":"master","last_synced_at":"2025-04-03T21:23:17.545Z","etag":null,"topics":["arima-forecasting","data-science","data-vizualization","financial-engineering","garch-model","granger-causality","jupyter-notebook","numpy","pandas","pyplot","python3","regression-models","research-paper","risk-modelling","scipy-stats","seaborn","statsmodels","time-series-analysis","value-at-risk","volatility-modeling"],"latest_commit_sha":null,"homepage":"","language":"HTML","has_issues":true,"has_wiki":null,"has_pages":null,"mirror_url":null,"source_name":null,"license":null,"status":null,"scm":"git","pull_requests_enabled":true,"icon_url":"https://github.com/MajorLift.png","metadata":{"files":{"readme":"README.md","changelog":null,"contributing":null,"funding":null,"license":null,"code_of_conduct":null,"threat_model":null,"audit":null,"citation":null,"codeowners":null,"security":null,"support":null,"governance":null,"roadmap":null,"authors":null,"dei":null,"publiccode":null,"codemeta":null}},"created_at":"2021-08-13T19:23:40.000Z","updated_at":"2025-03-20T17:15:51.000Z","dependencies_parsed_at":"2024-11-10T19:01:44.248Z","dependency_job_id":null,"html_url":"https://github.com/MajorLift/volatility-modeling-python-datasci","commit_stats":null,"previous_names":[],"tags_count":0,"template":false,"template_full_name":null,"repository_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/MajorLift%2Fvolatility-modeling-python-datasci","tags_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/MajorLift%2Fvolatility-modeling-python-datasci/tags","releases_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/MajorLift%2Fvolatility-modeling-python-datasci/releases","manifests_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/MajorLift%2Fvolatility-modeling-python-datasci/manifests","owner_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/owners/MajorLift","download_url":"https://codeload.github.com/MajorLift/volatility-modeling-python-datasci/tar.gz/refs/heads/master","host":{"name":"GitHub","url":"https://github.com","kind":"github","repositories_count":250817562,"owners_count":21492173,"icon_url":"https://github.com/github.png","version":null,"created_at":"2022-05-30T11:31:42.601Z","updated_at":"2022-07-04T15:15:14.044Z","host_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub","repositories_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories","repository_names_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repository_names","owners_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/owners"}},"keywords":["arima-forecasting","data-science","data-vizualization","financial-engineering","garch-model","granger-causality","jupyter-notebook","numpy","pandas","pyplot","python3","regression-models","research-paper","risk-modelling","scipy-stats","seaborn","statsmodels","time-series-analysis","value-at-risk","volatility-modeling"],"created_at":"2024-11-10T19:01:34.927Z","updated_at":"2025-04-25T12:31:03.420Z","avatar_url":"https://github.com/MajorLift.png","language":"HTML","funding_links":[],"categories":[],"sub_categories":[],"readme":"# Modeling Volatility and Risk Spillover Between the Financial Markets of US and China Using GARCH Value-at-Risk Forecasting and Granger Causality\n\nUndergraduate Thesis published by the Seoul National University Department of Economics (2020). (**[Read here](https://github.com/MajorLift/volatility-modeling-python-datasci/blob/master/Thesis.pdf)**)\n\n\u003e **Keywords**: VaR(Value at Risk), ARIMA-GARCH model, Risk management\n\n## Motivation\n\nComparative analysis of international economies during two periods of elevated volatility: the Great Recession of 2008 and the Coronavirus Recession.\n\n## Dataset\n\nIntraday returns (January 2007 - April 2020)\n- S\u0026P500\n- SSE Composite Index\n- Chinese Yuan to USD exchange rate\n\u003e Source: Yahoo Finance\n\n## Libraries\n\n- NumPy\n- Pandas\n- Statsmodels\n- SciPy\n- Seaborn\n- Matplotlibs\n\n## Methodology\n\n- Volatility Forecasting:\n  - **Skewed Student’s t ARIMA-GARCH model**\n    - Augmented Dickey-Fuller Test for Stationarity\n    - Jarque-Bera Test of Normality\n    - Box-Ljung Test of Autocorrelation\n    - Breusch-Pagan Test for Heteroskedasticity\n  - **Parametric Value-at-Risk (VaR)**\n- Risk Spillover: **Granger Causality**\n\n## Conclusion\n\nWhile a considerable degree of risk spillover is observed between the US and Chinese economies throughout the date range, its predictive power is shown to markedly diminish during the two Recession periods.\n\n## References\n\n- Box, G; Jenkins, G. (1970), “Time Series Analysis: Forecasting and Control”, San Francisco:\nHolden-Day.\n- Bollerslev, T. (1986), “Generalized Autoregressive Conditional Heteroskedasticity”, Journal of Econometrics, April, 31:3, pp. 307–27.\n- Granger, C. W. J. (1969), “Investigating Causal Relations by Econometric Models and Cross- Spectral Methods,” Econometrica 37, 424-438.\n- Granger, C.W.J. (1980), “Testing for Causality: A Personal View,” Journal of Economic Dynamics and Control 2, 329-352.\n- Hamilton, J.D. (1994), “Time Series Analysis”, Taylor \u0026 Francis US.\n- Hansen, B. (1994), “Autoregressive Conditional Density Estimation,” International Economic Review 35, 705-730.\n- Lee, S. and B. Hansen (1994), “Asymptotic Theory for the GARCH(1,1) Quasi-maximum Likelihood Estimator,” Econometric Theory.\n- Morgan, J.P. (1996), “Risk Metrics–Technical Document”, 4rd Edition, Morgan Guaranty Trust Company: New York.\n","project_url":"https://awesome.ecosyste.ms/api/v1/projects/github.com%2Fmajorlift%2Fvolatility-modeling-python-datasci","html_url":"https://awesome.ecosyste.ms/projects/github.com%2Fmajorlift%2Fvolatility-modeling-python-datasci","lists_url":"https://awesome.ecosyste.ms/api/v1/projects/github.com%2Fmajorlift%2Fvolatility-modeling-python-datasci/lists"}