GARCH

[ironchef]

Why not learn them? They were made by very smart people who I am sure you can learn a lot from. Each of them try and capture a slightly different feature of how vol moves. You are searching for the "Aha!" moment right? That moment might come from reading one line in the "OLIGARCH" paper.

https://vlab.stern.nyu.edu/en/ this website calculates them for you. GARCH is better than historical vol and worse than implied vol for liquid assets.

Visited the link you posted. There are so many different GARCHs, which one should I use if I want to test SPY?

 

[tommcginnis]

I tried. Not easy to understand.

You're over-thinking it, FeChief.

A tailored, general(-ized) AutoRegressive ("on traded prices) model

better represents the look-ahead fear/confidence of the market (and thus, direction)

than the defined Historic Volatility (±1σ of price),

but not quite so well as the market's OWN look-ahead fear/confidence measure, "IV".

 

[ironchef]

You're over-thinking it, FeChief.

A tailored, general(-ized) AutoRegressive ("on traded prices) model

better represents the look-ahead fear/confidence of the market (and thus, direction)

than the defined Historic Volatility (±1σ of price),

but not quite so well as the market's OWN look-ahead fear/confidence measure, "IV".

Thanks. Sounds like a good approach.

 

[drmark27]

https://vlab.stern.nyu.edu/en/ this website calculates them for you. GARCH is better than historical vol and worse than implied vol for liquid assets.

Is there data to suggest this, TBS?

 

[GamblerTraderInvestor]

Why not learn them? They were made by very smart people who I am sure you can learn a lot from. Each of them try and capture a slightly different feature of how vol moves. You are searching for the "Aha!" moment right? That moment might come from reading one line in the "OLIGARCH" paper.

https://vlab.stern.nyu.edu/en/ this website calculates them for you. GARCH is better than historical vol and worse than implied vol for liquid assets.

@TheBigShort is there data / papers showing that GARCH is better than HV for lookahead vol

 

[TheBigShort]

@TheBigShort is there data / papers showing that GARCH is better than HV for lookahead vol

I havent spent enough time on this to give you a good answer. But GARCH models incorporate characteristics of volatility (mean reversion, clustering), so I would imagine the answer to be "yes"

 

[Nighthawk]

Why use GARCH? Become on of THOSE WHO MOVE/AFFECT VOL! Become a market MAKER.