I would like to share with you a post I wrote on the practical application of GARCH model (in Matlab) as an Exit strategy in intraday trading: http://www.quantatrisk.com/2013/03/30/g ... c-traders/
I made a special effort to describe the mathematics standing behind the model fairly easy to grasp at any level. Since equations are boring, I wrote the Matlab code step by step with comments and remarks on the analysis between. If you have any ideas, comments, questions, feel free to share them with me. I will more than happy to address them all.