24 Dec

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.

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