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danasalcedoalbornoz / volatility-risk-management-garch

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Quantitative risk management project implementing GARCH(1,1) volatility estimation, VaR and Expected Shortfall computation, and backtesting (Kupiec test) applied to Peruvian ADRs (BAP, BVN)

python quantitative-finance adr peru garch financial-markets value-at-risk risk-management time-series-analysis backtesting financial-econometrics expected-shortfall volatility-modeling arch-model
  • Updated Feb 26, 2026
  • Python

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