GARCH

Discussion in 'Options' started by Baozi, May 14, 2019.

  1. ironchef

    ironchef

    Visited the link you posted. There are so many different GARCHs, which one should I use if I want to test SPY?
     
    #11     May 16, 2019
  2. tommcginnis

    tommcginnis

    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".
     
    #12     May 16, 2019
    ironchef and Flynrider like this.
  3. ironchef

    ironchef

    Thanks. Sounds like a good approach.
     
    #13     May 16, 2019
  4. drmark27

    drmark27

    Is there data to suggest this, TBS?
     
    #14     May 17, 2019