3 realms of garch modelling

Main points:

• All models are wrong, some models are useful
• garch is a model of volatility clustering
• garch is impacted by the 3 realms of finance, statistics and computing
• garch is data hungry
• variance targeting seems to be useful
• there is at least one model that is better than the garch(1,1)
• R is a good environment for academic research if you want to have real impact

annotated slides (pdf)

Presented 2012 December at the Imperial College Algorithmic Trading Conference.