Replication of key GARCH model papers

Replication material for the paper "Dynamic Conditional Eigenvalue GARCH" by Hetland, Pedersen and Rahbek (2021)

Python replication of some of the results from "VIX forecasting and variance risk premium: A new GARCH approach" by authors Qiang Liua, Shuxin Guoa, Gaoxiu Qiao

To use Matlab code to run the data given by the author and replicate his article.

Replication of the time series-related paper "Wheat as a hedge and safe haven for equity investors during the Russia–Ukraine war", as my final paper for the Applied Economics course in my junior year of undergraduate studies.

Ch6 replication: EGARCH & DCC-GARCH volatility modelling for Bitcoin returns

Conditional Betting Against Beta using GJR-GARCH betas · replication & extension of Frazzini & Pedersen (2014)

Replication code and data for ASEAN-7 stock markets: Gold × CPU interaction (OLS & GARCH-X models)

This is a paper replication about Application of ARIMA-GARCH model in forecasting IDR to dollar exchange rate in 2017-2022

Replication code for “Volatility Spillovers Between Housing and the Stock Market in Iran” using DCC–GARCH and Cheung–Ng in EViews.

Replication code and scripts for "Volatility Spillovers Between Housing and Stock Markets: Evidence from Iran" (DCC–GARCH model implementation in EViews).

Replication and extension of Vlasiuk & Smirnov (2025) regime-aware universal portfolio using a top-50 US large-cap universe. Compares three regime detectors — Sparse Jump Model, HMM, and RS-GARCH — showing regime awareness cuts volatility by 40% and max drawdown by 70% while maintaining competitive returns.