http://en.wikipedia.org/wiki/Autoregressive_conditional_heteroskedasticity
as you can see GARCH is just an ARMA of the volatility cheers Ly --- In [email protected], "dalengo" <[EMAIL PROTECTED]> 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 [email protected], "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: [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/ > > >
