Hello to everyone who reads this guide
There is two directory :
-
Duration dir : containing maccauly_duration implementation
-
GARCH dir : that has three modules :
1)the "garch_estimate_archlib" calculates GARCH(1, 1) optimum parameters(omega, alpha and beta) using arch library
2)the "garch_estimate_hull" has a similar function but is based on the book "Risk Management and Financial Institutions" by John C. Hall
3)the "stock_volatility_estimate" calculates the conditional volatility of the TSE stocks for an arbitrary time period and finally plots it
You can also find required packages in "requirements.txt".
I welcome your comments.
Contact me through my email : anejadkoorki8199@gmail.com