Skip to content

README.md

Latest commit

 

History

History
21 lines (21 loc) · 1.23 KB

README.md

File metadata and controls

21 lines (21 loc) · 1.23 KB

Dependencies (Python Libraries):

  • pandas
  • NumPy
  • SciPy
  • numba
  • matplotlib
  • tabulate

Usage Instructions:

  1. If desired, replace "data/FF_DAILY_3_FACTORS.xlsx" with your own data in .xlsx format
  2. Put market premia in a column with the heading "Mkt-RF" (case-sensitive)
  3. If desired, put crisis dummy variable values (to indicate crisis periods in market return) in a column with the heading "Crisis" (case-sensitive)
  4. Run "main.py" and answer user prompts

References:

Conrad, C., & Engle, R. F. (2025). Modelling volatility cycles: the MF2‐GARCH model. Journal of Applied Econometrics. https://doi.org/10.1002/jae.3118

Conrad, C., Schoelkopf, J., & Tushteva, N. (2023). Long-Term volatility shapes the stock market’s sensitivity to news. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.4632733

Conrad, C. & Schoelkopf, J. 2025. MF2-GARCH Toolbox for Matlab. Matlab package version 0.1.0.

Maheu, J. M., & McCurdy, T. H. (2007). Components of market risk and return. Journal of Financial Econometrics, 5(4), 560–590. https://doi.org/10.1093/jjfinec/nbm012