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http://en.wikipedia.org/wiki/Autoregressive_conditional_heteroskedasticity
as you can see GARCH is just an ARMA of the volatility
cheers
Ly
--- In amibroker@xxxxxxxxxxxxxxx, "dalengo" <dalengo@xxx> wrote:
>
> C++ http://quantlib.org/reference/class_quant_lib_1_1_garch11.html
> and other quant goodies you may wish to take a look at.
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Tom Tom" <michel_b_g@> wrote:
> >
> > Ly,
> >
> > I just come back to the GARCH estimator (because i am currently
> working on
> > AR est.).
> > You say it is like ARIMA, mean a GARCH can be precessed from
> ARIMA ? Do you
> > have somes links so i can use the work on AR to compute GARCH
> model ?
> >
> > GARCH seems the "new" tool for time serie financial analyst. From
> what i
> > have read (not a lot...) price are considered like random walk,
> but squared
> > return (volatility) seems correlated with past volatility values.
> > So GARCH has been invented (even Nobel Prize for GARCH(1,1) !!),
> and is one
> > of the only predicive tool wich has been seriously regarded by
> > banks/institution. Now it is highly used for VaR (Value at Risk)
> for
> > portfolio risk sizing.
> > So GARCH seems recognized by scientist and financial inst. Whow !
> >
> > Why for us, small capital traders, we don't use those tools... why
> aren't
> > they implement in TA software as basic indicators if it is such a
> great tool
> > !? Should be nice to use it to balance risk on a portfolio like
> bank do
> > it.... maybe because after it is know, it won't work for banks...
> so they
> > keep it : )
> > .... or maybe because keep it simple is better for us ; )
> >
> > To make the correlation with Amibroker and last new awaited
> feature, Thomas,
> > maybe we can hope with new portfolio some VaR estimators
> included ? Will be
> > so great ! Multivariate GARCH for multiple position holded risk
> > estimation/pred ...
> > If price analisys is not working, maybe risk management sould be
> > rediscover/improved and highlighted in AT prog.
> >
> > If someone got some assymetric GARCH code (AFL, or VB/C), should
> be nice to
> > share !
> > (assym. is better for equity volatility estimation, because it
> takes the
> > fact that big price decrease is followed by more volatility on the
> price
> > than big price increase).
> >
> >
> > Cheers,
> > Mcih.
> >
> > ----- Original Message -----
> > From: loveyourenemynow
> > To: amibroker@xxxxxxxxxxxxxxx
> > Sent: Monday, December 04, 2006 3:21 AM
> > Subject: [amibroker] Re: Random Walk - step 2 - : Predicitable ?
> >
> >
> > Hi Chuk,
> >
> > if markets would offer technical analysis opportunities on a
> > consistent basis then a lot of traders would start to take
> advantage
> > of it, and there would be no opportunity anymore, because prices
> > would be absorb this action.
> >
> > Volatility cannot be traded (you can use option, but their pricing
> is
> > also depending on the underlying and in a not totally understood
> way)
> > so volatility can actually be modeled quite successfully (from
> what I
> > read on some statistical arbitrage notes I found on the NYU
> > mathematical finance website) with moving averages or auto
> regressive
> > models such as GARCH.
> > I guess you can try to do it yourself, take some volatility time
> > series and see how successful GARCH is, which in the end is ARIMA.
> >
> > I tend to believe only what I can experiment, so I cannot tell you
> for
> > sure.
> >
> > Thanks
> >
> > Ly
> >
> > _________________________________________________________________
> > Windows Live Spaces : créez votre Space à votre image !
> > http://www.windowslivespaces.fr/
> >
>
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