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GARCH(p,q) Model and Exit Strategy for Intraday Algo Traders

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pawelach

Post subject: GARCH(p,q) Model and Exit Strategy for Intraday Algo Traders

Posted: Mon Nov 04, 2013 7:21 am

Joined: Sun Nov 03, 2013 1:02 pm
Posts: 2

Hi Guys,
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.

Cheers, -Pawel

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