Click here to Skip to main content

Forecasting Stock Market Volatility with Kalman Filters

21 Aug 2023CPOL12 min read 18.1K  
A layman's description of how Kalman Filters work, and sample code that shows how to use it to forecast stock market volatilities
Sample code and explanation of how to use Kalman Filters to forecast stock market volatilities. I provide a layman's description of how Kalman Filters work, with emphasis on the role that different variables play. I then provide sample code that implements a Kalman Filter using Pyro, a probabilistic machine learning library built on top of PyTorch.
 

License

This article, along with any associated source code and files, is licensed under The Code Project Open License (CPOL)