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
Presented 2012 December at the Imperial College Algorithmic Trading Conference.
Kommentarer inaktiverade för 3 realms of garch modelling
jun 25, 26
The function in question is scriptSearch. I’m not much for superlatives — ”most” and ”best” imply one dimension, but we live in a multi-dimensional world. I’m making an exception. The [...]
jun 25, 26
I recently gave a talk at the R in Finance conference in which I introduced the marketAgent package for R. Here is the source for the package if you'd like [...]
jun 25, 26
Executive summary Surprisingly good. And it’s not like my expectations were especially low. Structure There are 20 chapters. I mostly like the chapters and their order. Hadley breaks the 20 chapters [...]