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
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