├── .ipynb_checkpoints ├── Part_01_Loading_Currency_Data-checkpoint.ipynb ├── Part_02_Visualizing_Timeseries_Data-checkpoint.ipynb ├── Part_03_Modeling_Framework-checkpoint.ipynb ├── Part_04a_Understanding_Turbulence_Signals-checkpoint.ipynb ├── Part_04b_Creating_Turbulence_Model-checkpoint.ipynb ├── Part_05a_Understanding_GARCH_Estimation-checkpoint.ipynb └── Part_06_Machine_Learning_Approach-checkpoint.ipynb ├── Part_01_Loading_Currency_Data.ipynb ├── Part_02_Visualizing_Timeseries_Data.ipynb ├── Part_03_Modeling_Framework.ipynb ├── Part_04a_Understanding_Turbulence_Signals.ipynb ├── Part_04b_Creating_Turbulence_Model.ipynb ├── Part_05a_Understanding_GARCH_Estimation.ipynb ├── Part_05b_Creating_GARCH_Model.ipynb ├── Part_06_Machine_Learning_Approach.ipynb ├── Presentation └── ODSC Modeling Volatility - Lawrence Hameyie-Sanon.pdf ├── README.md ├── currency_returns.pkl ├── data └── data_readme.txt ├── dxy.pkl ├── dxy_forward_sq.pkl ├── garch_model_perf_stats.pkl ├── garch_model_weights.pkl ├── kfold_analysis_wrapper.m ├── load_currency_data_script.m ├── load_currency_data_script_incl_covid.m ├── load_equity_data_script.m ├── load_equity_data_script_incl_covid.m ├── matlab ├── Matlab_to_Python.ipynb ├── currency_returns.mat ├── equity_returns.mat ├── readme.txt └── third_culture_paper.zip ├── paper ├── DataHash.m ├── calculate_kfold_insample_performance_script.m ├── calculate_kfold_insample_performance_script_v2.m ├── calculate_non_kfold_insample_performance_script.m ├── calculate_non_kfold_insample_performance_script_v2.m ├── calculate_out_of_sample_performance_script.m ├── calculate_out_of_sample_performance_script_temp20181105.m ├── calculate_out_of_sample_performance_script_v2.m ├── calculate_stats_v2.m ├── cumnansum.m ├── currency_models.m ├── currency_returns.mat ├── display_oos_performance.m ├── display_oos_performance_temp20181105.m ├── equity_returns.mat ├── kfold_analysis_wrapper.m ├── kfold_analysis_wrapper_limited_iterations.m ├── load_currency_data_script.m ├── load_currency_data_script_incl_covid.m ├── load_detrended_currency_data_script.m ├── load_detrended_equity_data_script.m ├── load_equity_data_script.m ├── load_equity_data_script_incl_covid.m ├── load_scrambled_currency_data_script.m ├── load_scrambled_equity_data_script.m ├── load_test_currency_data_script.m ├── mahalanobis.m ├── mvgarch_extrapolate.m ├── nfold_crossvalidation.m ├── nfold_crossvalidation_with_holdback.m ├── output_data.m ├── recalculate_stats.m ├── recalculate_stats_v2.m ├── run_all_models.m ├── run_all_models_limited_iterations.m ├── run_all_models_temp_20181105.m ├── run_mlblender_script.asv ├── run_mlblender_script.m ├── search_model_parameters.m ├── set_culture_parameters_script.m ├── set_methodology_parameters_script.m ├── set_methodology_parameters_script_limited_iterations.m ├── set_methodology_parameters_script_temp20181105.m ├── trade_garch.m ├── trade_garch_rolling.m └── trade_mahalanobis.m ├── rand_turb_perf.pkl ├── requirements.txt ├── returns.pkl ├── run_all_models.m ├── run_mlblender_script.m ├── turb_model_perf_stats.pkl ├── turb_model_weights.pkl └── vol_pred.pkl /.ipynb_checkpoints/Part_01_Loading_Currency_Data-checkpoint.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/fintechsteve/modeling-volatility/HEAD/.ipynb_checkpoints/Part_01_Loading_Currency_Data-checkpoint.ipynb -------------------------------------------------------------------------------- /.ipynb_checkpoints/Part_02_Visualizing_Timeseries_Data-checkpoint.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/fintechsteve/modeling-volatility/HEAD/.ipynb_checkpoints/Part_02_Visualizing_Timeseries_Data-checkpoint.ipynb -------------------------------------------------------------------------------- /.ipynb_checkpoints/Part_03_Modeling_Framework-checkpoint.ipynb: 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