Genesis of GARCH - Why you have been measuring volatility wrong all your life

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An introduction to GARCH, and why it can be a superior tool to sample standard deviation in measuring volatility.

Download the notebook in my GitHub page:

Dirty Quant

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Love the chill vibes man. Whats that song you got going?

mmmar

When running the worksheet the beta co-efficient produced when fitting GARCH to the simulated time series with the shock value is no longer close to 0 as in the video, instead it's 0.89 as you suggested it should be (and the spike is no longe present in the plot of conditional volatility of simulated returns). Not sure why....

OtterMorrisDance

Excellent. Incredibly you've managed to make econometrics seem hip.

jameswalters

Great video mate, doing my Master's research on measuring the impact of renewable generation on spot market volatility for power markets using GARCH. This is super useful for understanding why it's so commonly used! Do you have a link to any PhD research you did?

canookadin

Where did you do you PhD, and was your research into statistical/mathematical finance? Your videos are very helpful, have you considered adding any advanced material? I liked your video on copulas as well but would love to understand it at a deeper level through your intuitive explnation.

johnginos

Coolest content, amazing vibes.
I'm modeling exchange rate volatility with a garch(1.1) using Python ( purpose is pricing options) after reading so many papers and watching a lot of videos I'm actually confused regarding one thing: when using the arch package to estimate a garch model, some include in the function the returns series ( as in this video where we used Apple returns) while others estimate first a mean equation ( let's say using an ARMA model ) and then they take the residuals and use them in the garch function.
Is this the same thing? What would be more appropriate?

ahlemmassoud

Helped a lot to better understand GARCH, can you please cover volatility measures on panel data as well.

gyaneshjain

Is the process the same for shorter horizon volatility forecasting versus a longer term forecast for capital market assumption purposes (5-10+ years)?

InvestorMattU

Great videos, would be better if the code was larger. It’s tough to see on mobile

RHCPhooligan

This guy is too good looking to have a PhD in statistics

JamesBarrett

Genesis of GARCH - Why you have been measuring volatility wrong all your life

Genesis of GARCH - Why you have been measuring volatility wrong all your life

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