GARCH & Econometrics

[hanss]

Hi Guys

Does anyone here have an experience with GARCH models on metatrader? I would like to start build up a system with econometric and/or physical methods, but I am too lazy to start from a scratch. I am looking rather for practical applications not for theory. I do not want to use external programs, it would be nice to have some libraries directly inside metatrader to run regression (OLS, GLS, GMM, ML or any other)...

thanx i advance

hanss

[Sergey Golubev]

Just found this post with google

https://www.mql5.com/en/forum/174980/page5

[tampa]

Garch indicator

garch.mq4

[[Deleted]]

tampa:
Garch indicator garch.mq4

Sorry what is GARCH model measuring there, volatility?

[Mladen Rakic]

It should be this Autoregressive conditional heteroskedasticity - Wikipedia, the free encyclopedia

[pavaka]

by glancing over the picture above I can say for sure that it measures "something"....

VSATrading:
Sorry what is GARCH model measuring there, volatility?

[whisperer]

Garch should measure (forecast) volatility.

[techmac]

Is that calculating the garch correctly?

[nevar]

The author of the code sounds like he knows what he is doing Free download of the 'GARCH' indicator by 'andres.barale' for MetaTrader 4 in the MQL5 Code Base

[techmac]

nevar:
The author of the code sounds like he knows what he is doing Free download of the 'GARCH' indicator by 'andres.barale' for MetaTrader 4 in the MQL5 Code Base

I asked because it does not show the most recent 3 bars and as I see, it uses future bar(s) for calc

[nevar]

I have just noticed , you are right.