High Frequency Volatility Modeling

In this Repository you can find a way to model the High-Frequency volatility of some commodities on the market given market data. The model is the LHAR-CJ with all its extension

Name		Name	Last commit message	Last commit date
Latest commit History 44 Commits
Brent_Functions.py		Brent_Functions.py
Data_Functions.py		Data_Functions.py
ECF_Functions.py		ECF_Functions.py
Estimators_Functions.py		Estimators_Functions.py
Functions_GBM.py		Functions_GBM.py
Functions_Variance.py		Functions_Variance.py
HF_Data_Manage.ipynb		HF_Data_Manage.ipynb
LHAR_CJ.py		LHAR_CJ.py
README.md		README.md
RV_Functions.py		RV_Functions.py
TFM_Functions.py		TFM_Functions.py
Test_Functions.ipynb		Test_Functions.ipynb
Vol_Fun_Sep.py		Vol_Fun_Sep.py
WTI_Functions.py		WTI_Functions.py

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