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PureBytes Links
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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@xxx> 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
>
> _________________________________________________________________
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