This article was originally published on Built In by Eric Kleppen. Variance is a powerful statistic used in data analysis and machine learning. It is one of the four main measures of variability along ...

GJR-GARCH models with exogenous regressors in the variance equation. A pure Python implementation of Glosten-Jagannathan-Runkle (1993) GARCH models that properly supports exogenous variables in the ...