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 [email protected], "Tom Tom" <[EMAIL PROTECTED]> 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: [email protected] > 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/ >
