GARCH Modeling

Posted by on Nov 5, 2014

GARCH Modeling

GARCH modeling is one of several methods to measure volatility clustering in a security or financial asset. For more information: http://bit.ly/1tcFtTD GARCH Modeliong #######------Coded By ericrasmussentx@...------######## # Garch = # gamma * long run variance (lr_variance) + # alpha * yesterdays squared return(n_1returnSquared) + # beta * yesterdays variance (n_1Variance) declare lower; # Weight Inputs (weights sum to 1) input gamma = .30; input alpha = .35; input beta = .35; # Yesterday's Return def n_1Return = Log(close[1] / close[2]); # Yesterday's Squared Return def n_1ReturnSquared = Sqr(n_1Return); # Average Returns input avgReturnLength = 252; def smaReturn = SimpleMovingAvg(n_1Return, length = avgReturnLength); # Yesterday's Variance = (return - simple average of returns)^2 def n_1variance = (n_1Return - smaReturn) * (n_1Return - smaReturn); # Long run Variance def lr_variance = SimpleMovingAvg(n_1variance, length = 252); # GARCH[1,1] calc def garch = (gamma * lr_variance) + (alpha * n_1ReturnSquared) + (beta * n_1variance); #alpha + beta is persistance of series, (higher = tendency to stick to series) def persistance = (alpha + beta) * 100; # Garch Variance Predicition = # variance on day n+t = long run variance + # (alpha+beta) to the t power * # (today's variance - long run variance) input daysForward = 5; def garchForecast = lr_variance + (Power(alpha + beta, daysForward)) * (n_1variance - lr_variance); def garchStdDev = Sqrt(garchForecast) * 100; def lr_StdDev = Sqrt(lr_variance) * 100; # Look & Feel/Plots plot gstd = garchStdDev; gstd.AssignValueColor(color = Color.CYAN); AddCloud(0, garchStdDev, color1 = Color.CYAN, color2 = Color.CYAN); plot lrstd = lr_StdDev; lrstd.AssignValueColor(color = CreateColor(red = 0, green = 60, blue = 255)); AddCloud(0, lr_StdDev, color1 = Color.BLUE, color2 = Color.BLUE); # Labels for Input Values AddLabel(yes, Concat("Days Forward: ", daysForward), color = Color.CYAN); AddLabel(yes, Concat("Persistance to Average: ", Concat(persistance, "%")), color = Color.CYAN); # Monthly Data input monthlyData = no; def newMonth = GetMonth() <> GetMonth()[1]; def peak = garchStdDev > lr_StdDev; # Finding Monthly Peaks def peakTotalMonth = if newMonth then TotalSum(peak) else peakTotalMonth[1]; def peakSumMonth = peakTotalMonth - peakTotalMonth[1]; # Finding Current Month's Volatility Peaks def totalPeaks = TotalSum(peak); def currentMonthPeaks = totalPeaks - peakTotalMonth; # Montly Data Look and Feel AddChartBubble("time condition" = newMonth and monthlyData == yes, text = peakSumMonth, "price location" = lr_StdDev, color = Color.CYAN); AddLabel(yes, Concat("Current Peaks: ", currentMonthPeaks), color = Color.CYAN); # Garch Volatility Peak Stats input peakBubbles = no; def peakDistance = Round(garchStdDev - lr_StdDev); def highPeak = peak and garchStdDev > (lr_StdDev + (lr_StdDev * .30)); AddChartBubble("time condition" = peakBubbles == yes and highPeak, text = peakDistance, "price location" = lr_StdDev, color = CreateColor(red = 0, green = 60, blue = 255)); # High Zero Line Plot input zeroLine = yes; plot pp = if zeroLine == yes and peak then 0 else Double.NaN; pp.SetPaintingStrategy(PaintingStrategy.POINTS); pp.SetLineWeight(1); pp.AssignValueColor(if highPeak then CreateColor(red = 20, green = 80, blue = 255) else Color.CYAN); plot pp2 = if zeroLine == yes...

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Big Investors Missed Stock Rally : Wall St Journal

Posted by on Jun 24, 2014

READ :   http://online.wsj.com/articles/big-investors-missed-stock-rally-1403567478 ClueLess Game_Theory:  Been saying that on my VideoCasts for Months now & on ST for Years: market Tradeable-TOP is near when general Financial Media catches on !… This content is for FREE TRIAL , SILVER , GOLD , PLATINUM , Gold – 6 Month and Platinum – 6 Month members only.Log In...

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RUT IWM : Russell Reconstitution : Friday June 27th

Posted by on Jun 24, 2014

Russell Investments reconstitution June 20th update  (118.80 +0.78) 6/24/2014 10:39:22 AM ET Russell Investments will reconstitute its Russell 3000 index Friday June 27th after the close. The index is simply composed of the largest 3000 U.S. companies in the market, based on market capitalization, adjusted for float. The Russell 3000 is then divided into several sub-indices, including… This content is for FREE TRIAL , SILVER , GOLD , PLATINUM , Gold – 6 Month and Platinum – 6 Month members only.Log In...

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STUDY MATERIAL

Posted by on May 13, 2014

READ: STUDY: Expand your Horizon : LIVE outside the FishBowl ! May 12th Blogger Sentiment Poll : BULLISH 20.83% … wowza!  Massive BGT : Contrarian Behavioral Game_Theory BUY Signal: No One Believes! http://tickersense.typepad.com/ Birinyi Associates http://caldaro.wordpress.com/2014/05/12/monday-update-405/    Best Elliott Wave Theorist I’ve been tracking for almost 6yrs + http://www.bespokeinvest.com/  Ultimate source for market Stats http://www.farnamstreetblog.com/2010/04/behavioral-economics-reading-list/    BGT… This content is for FREE TRIAL , SILVER , GOLD , PLATINUM , Gold – 6 Month and Platinum – 6 Month members only.Log In...

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Links : Market Insights

Posted by on Apr 15, 2014

Elliott Wave Theorist :  http://caldaro.wordpress.com/2014/04/15/tuesday-update-434/ POMO Schedule:  http://www.newyorkfed.org/markets/tot_operation_schedule.html http://www.bespokeinvest.com/ http://www.businessinsider.com/clusterstock http://tickersense.typepad.com/ http://www.efxnews.com/ http://wallstsavvy.wordpress.com/category/the-shot/ http://mrtopstep.com/ more to follow ……… This content is for FREE TRIAL , SILVER , GOLD , PLATINUM , Gold – 6 Month and Platinum – 6 Month members only.Log In...

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