Discussion of article "Econometric Approach to Analysis of Charts" - page 11

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Isn't the GARCH Model suppose to describe volatility clusters in the time-series?  If so, there's not much of an approach here to model time-series returns in USDJPY but rather volatility.  If best, you can include how to base a strategy off of these econometric modelling.
 

Hi, thanks for your posts and valuable info.

I am compiling garchtest and garchtest_html5 and getting this error :


stat1[i]=stat[lags[i]-1];

'-' - Integer Expression Expected.


What is the problem ? Can you helpme to fixed it ?

Thanks in advance

 
AlbertoFX:

Hi, thanks for your posts and valuable info.

I am compiling garchtest and garchtest_html5 and getting this error :


stat1[i]=stat[lags[i]-1];

'-' - Integer Expression Expected.


What is the problem ? Can you helpme to fixed it ?

Thanks in advance

Try to change this line in :

      stat1[i]=stat[(int) lags[i]-1];                //fill the alternate array for the specified lags
 
Good! Good! Good!!!
 
That's good!
 
I'm sorry, did you estimate the autocorrelation coefficient before starting this kind of work?
 

I can't compile

GarchTest

GarchTest_html

 
MetaQuotes Software Corp.:

New article An econometric approach to analysing graphs has been published:

Author: Dennis Kirichenko

There is an error when I try to compile "garchtest.mq5".


'-' - integer expression expected garchtest.mq5 154 28


 
It was a decent article. I enjoyed it a lot. I want to predict whether a trend is going to start or no on a currency pair in a specific time frame, say H1. For this purpose, I first get the returns within a time frame of length, say, the past N "H1 candles", and then use the Q test. If it passes the Q test, then I fit the parameters of a GARCH(1,1) model on the obtained returns from the chosen time window, and then calculate the expected value of the predicted variance for the next H1 candle. If it is above a specific threshold, then we can expect that a trend is coming.

But based on your experience, do you think such a method has a good accuracy in practice?
 
Hadi Hadizadeh:
It was a decent article. I enjoyed it a lot. I want to predict whether a trend is going to start or no on a currency pair in a specific time frame, say H1. For this purpose, I first get the returns within a time frame of length, say, the past N "H1 candles", and then use the Q test. If it passes the Q test, then I fit the parameters of a GARCH(1,1) model on the obtained returns from the chosen time window, and then calculate the expected value of the predicted variance for the next H1 candle. If it is above a specific threshold, then we can expect that a trend is coming.

But based on your experience, do you think such a method has a good accuracy in practice?

Thanks for your opinion. The model does not predict the trend or flat inception. It rather allows to define the bounds for future returns. And the 2nd opportunity - to simulate future returns (prices) within the validated bounds.

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