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q-variance / challenge Public

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Submission: Tingjun GARCH Omega fix#17

Merged

Orrell merged 10 commits into

q-variance:mainq-variance/challenge:mainfrom

tingjun-yang:feature/garch-vol-modelingtingjun-yang/challenge:feature/garch-vol-modelingCopy head branch name to clipboard

Dec 28, 2025

Conversation Commits10 (10)Checks Files changed

Merged

Submission: Tingjun GARCH Omega fix#17
Orrell merged 10 commits into
q-variance:mainfrom
tingjun-yang:feature/garch-vol-modeling

Commits

Commits on Dec 28, 2025

Fix definition of omega and change lambda to beta.
tingjun-yang
committed
Reoptimize parameters using the new omega definition.
tingjun-yang
committed
Test on 5M days.
tingjun-yang
committed
Add dataset for 5M days.
tingjun-yang
committed
Test on 100k days.
tingjun-yang
committed
Add raw prices for 100k days.
tingjun-yang
committed
Add figures.
tingjun-yang
committed
Make figure 3 more consisent with others.
tingjun-yang
committed
Update README.md with the correct omega definition and updated results.
tingjun-yang
committed
Fix R2 for 100k.
tingjun-yang
committed

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