Implied-Risk-Premia-Demo

Implied Risk Premia Analysis with GARCH, Covariance, and PCA - Interactive Streamlit Demo

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Information

Property	Value
Language	HTML
Stars	0
Forks	0
Watchers	0
Open Issues	0
License	No License
Created	2026-01-29
Last Updated	2026-03-25
Last Push	2026-01-29
Contributors	1
Default Branch	main
Visibility	private

Topics

financial-modeling garch pca streamlit risk-premia

Datasets

This repository includes 9 dataset(s):

Dataset	Format	Size

| ralplan-state.json | .json | 1.07 KB |

| ultrawork-state.json | .json | 12.92 KB |

| charts.json | .json | 3.56 KB |

| layout_config.json | .json | 2.45 KB |

| data | | 0.0 KB |

| init.py | .py | 0.16 KB |

| synthetic_generator.py | .py | 11.47 KB |

| expected_garch_params.json | .json | 0.09 KB |

| expected_pca_loadings.csv | .csv | 0.29 KB |

Reproducibility

This repository includes reproducibility tools:

• Python requirements.txt

Status

• Issues: Enabled
• Wiki: Disabled
• Pages: Enabled

README

Implied Risk Premia Demo

Comprehensive analysis of implied risk premia in financial markets through GARCH-based variance decomposition.

Description

This project implements a complete pipeline for analyzing implied risk premia from options data. It decomposes option-implied variance into expected realized variance and variance risk premium components using GARCH models and performs statistical analysis of the results.

Features

• Data Processing: Load and preprocess options and returns data
• GARCH Modeling: Estimate variance models (GARCH, EGARCH, GJR-GARCH)
• Variance Decomposition: Separate implied variance into components
• Statistical Analysis: Hypothesis testing, correlation analysis, regime detection
• Visualization: Interactive charts for all analysis components
• Web Dashboard: Streamlit-based interactive exploration

Installation

# Clone the repository
cd D:\Joerg\Research\slides\Implied-Risk-Premia-Demo

# Create virtual environment
python -m venv venv
source venv/bin/activate  # On Windows: venv\Scripts\activate

# Install dependencies
pip install -r requirements.txt

Usage

Generate Charts

python scripts/generate_all_charts.py

Run Web Dashboard

streamlit run app/app.py

Run Tests

pytest tests/

Project Structure

.
├── src/                    # Source code
│   ├── data/              # Data loading and preprocessing
│   ├── models/            # GARCH and statistical models
│   ├── visualization/     # Chart generation
│   └── utils/             # Utility functions
├── app/                   # Streamlit web application
├── charts/                # Generated chart outputs
├── tests/                 # Test suite
├── docs/                  # Documentation
└── scripts/               # Automation scripts

Requirements

• Python 3.9+
• See requirements.txt for package dependencies

License

MIT License