This project is about float, fixed and mixed exchange rates differences, you can expect: working on the real data (from fxtop.com) analysis period selection data analysis (realizations plots) cointegration testing (two-step Engle-Granger procedure (1987)) statistical tests (Augmented Dicky-Fuller, Breusch-Godfrey, F, Ljung-Box) model selection (information criteria) Markov switching modelling hypotheses verification (rate swings) inference and interpretations quality paper-style report in Polish GitHub repository

This project is about volatility models comparison, you can expect: working on the real market data (from stooq.pl) time series data EDA (logarithmic returns transform, realization plots, ACFs, PACFs, descriptive statistics) statistical tests (ARCH LM, Jarque-Bera) GARCH modelling with prior assumptions about epsilon distribution (hypotheses) 4 GARCH models (standard, exponential, threshold, component) with 4 different epsilon distributions each (normal, t-student, skewed t-student, generalized error) 3 naive models (random walk, historical average, moving average) 9 performance metrics (ME, MAE, RMSE, AMAPE, TIC, MME(U), MME(O), DCP, DCPU) quality paper-style report in Polish GitHub repository

This project is about conditional variance function and Value at Risk estimation for cryptocurrencies portfolio, you can expect: cryptocurrencies portfolio building with market capitalization weighting principle data scrapping from coinmarketcap.com time series EDA (realizations plot, returns plot, ACFs, PACFs, returns distribution, descriptive statistics) hypotheses testing (Durbin-Watson, ARCH LM, Jarque-Bera, Ljung-Box tests) time series modelling (ARMA-GARCH family models, residuals analysis, model selection, rolling window estimation) Value at Risk estimation, sensitivity analysis forecasting R markdown report in Polish GitHub repository