- Version 0.1.0
- By i4cast LLC
The Dynamic Factor Variance-Covariance Model (DFVCM) makes multi-step forecasts of multivariate volatilities of a large number time-series (e.g. those of numerous investable assets in many markets) by applying dynamic factor model (DFM). The multi-step forecasts of multivariate volatilities are...
Algorithm - Fulfilled on Amazon SageMaker