volatility clustering

garch models caught in the spotlight

An attempt to clarify the basics. Previously There have been [...]

By Pat|2014-01-13T11:44:48+01:002014-01-13|Quant finance, R language|2 Comments

The Imperial College Algorithmic Trading Conference was Saturday. Talks Massoud [...]

By Pat|2012-12-10T15:45:45+01:002012-12-10|Quant finance, R language|6 Comments

What is variance targeting in garch estimation? And what is [...]

By Pat|2012-09-24T09:53:12+02:002012-09-24|Quant finance, R language|1 Comment

The variability of garch estimates when the series has 100,000 [...]

By Pat|2012-09-20T10:42:48+02:002012-09-20|Quant finance, R language|3 Comments

Not exactly pin-point accuracy. Previously Two related posts are: A [...]

By Pat|2012-09-17T10:22:21+02:002012-09-17|Quant finance, R language|1 Comment

How much does garch shorten long tails? Previously Pertinent blog [...]

By Pat|2012-08-27T11:04:09+02:002012-08-27|Quant finance, R language|3 Comments

We look at volatility clustering, and some aspects of modeling [...]

By Pat|2012-07-06T10:17:15+02:002012-07-06|Quant finance, R language|18 Comments