Forecast volatility with GARCH(1,1)
Loading...
Uploaded by bionicturtledotcom on Feb 13, 2008
We can forecast volatility with GARCH(1,1). The key parameter is persistence (alpha + beta): high persistence implies slow decay toward the long run average
- 37 likes, 0 dislikes
-
Uploader Comments (bionicturtledotcom)
Top Comments
-
Thank you,very helpfull video.
3 years ago 3
-
@EHDuke29 Thank you! You can't use GARCH(p,q) to forecast prices, it makes a limiting assumption that conditional returns are normal. And, in practice, volatility is less difficult to predict.
All Comments (21)
-
@bionicturtledotcom ok, is GARCH ever used in combination with ARIMA as a way of deciding the 95% prediction bounds? Or this is not possible because of heteroskedasticity? Hope my question makes sense.
-
@bionicturtledotcom May I ask what degree(s) you have? Seems like you have a Ph.D in math, stats or finance.. I'm having trouble following your videos. Is there any other way I could figure out what exactly this model is and how it works?
-
You really should sell this stuff. It is good. Check out VideotutorA2Z.
- 9:35
Volatility approachesby bionicturtledotcom12,164 views
- 7:51
GARCH(1,1) to estimate volatilityby bionicturtledotcom42,209 views
- 6:17
Why we use log returns in financeby bionicturtledotcom17,949 views
- 8:56
Exponentially weighted moving average (EWMA)by bionicturtledotcom25,319 views
- 16:09
Maximum Likelihood Example: Normalby MathHolt11,538 views
- 182 videosBionicTurtle
- 8:27
MATLAB Pairs Trading / Statistical Arbitrage Exampleby intradaystocktrading8,922 views
- 10:01
Chapter 16: Time Series Analysis (2/4)by PollackSTJ12,406 views
- 6:37
Bayes' Formulaby bionicturtledotcom73,317 views
- 7:08
Forecasting With Excelby BYUHawaii14,759 views
- 6:57
Making 20 PIPS a day in less than 10 minutes!by tbmcoach25,854 views
- 9:54
Intro to logarithmsby bionicturtledotcom53,525 views
- 1:15
Forecasts in Excelby contactatbiznet16,097 views
- 9:20
Normal probability distributionby bionicturtledotcom90,750 views
- 6:14
VIDEO TUTORIAL DE EVIEWSby 2pingue13,995 views
- 10:26
Introduction to ARIMA modeling in Rby off2themovies25,220 views
- 9:11
Historical simulation, value at risk (VaR)by bionicturtledotcom23,786 views
- 6:01
Eviews. Heteroscedasticity, autocorrelation, normality 1by cesarsantube18,757 views
- 9:14
Regression #4: ANOVA table in regressionby bionicturtledotcom69,875 views
- 7:05
Implied volatilityby bionicturtledotcom25,290 views
- 10:17
Capital market line (CML)by bionicturtledotcom43,250 views
another useless finance formula that you will never use in real life
quicken02 4 weeks ago
@quicken02 thanks for the constructive input, i really owe you one ...
bionicturtledotcom 4 weeks ago
@bionicturtledotcom no need to take offense, I am just saying it how it is, your videos are great, i watch them all the time, i am subscribed
quicken02 4 weeks ago
@quicken02 How do you know what it is ... such that you can say how it is? Rob Engle won the Nobel Prize for the ARCH class and spawned a entire field that continues 30 years later. The current applications ... won't ... fit ... on ... this ... page. And the math is beautiful. I'm not offended, I just don't understand how somebody can be incurious.
bionicturtledotcom 4 weeks ago
Very good video, makes it a lot more understandable. My question is: how would I use this to forecast future stock prices ($7, $8, ?forecast).
EHDuke29 1 month ago
@EHDuke29 what i meant is: by making the limiting assumptions that returns are normal, the GARCH implicitly assumes the price has a drift (mu), which is a forecast
bionicturtledotcom 4 weeks ago