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Date/Time: Sat, 25 Apr 2026 03:35:24 +0000
MAP-GARCH(1,1)Intraday Volatility Structure study
View Count: 19
| [2026-04-24 19:30:17] |
| User293951 - Posts: 24 |
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I have just finished a dream study that I would like to finalize since ages. It took me a lot of time but today made the first run that is guaranteed to be correct. It is a MAP-GARCH(1,1) study for forecasting volatility of any asset of the equities market. RTH session only of course. It can keep track of any stock, future, mutial fund, index or ETF that trades during the RTH session. I have completely abandoned all transactions during ETH. It is a MAP-GARCH(1,1) with half-life weighted likelihood and Gaussian priors. Log-Log display Log-normal +/-1 and +/-2 sigma Sqrt(t) diffusion reference line With comments about front-loaded, flat or back-loaded classification. On RTH Open the blue diagram is drawn and after 9:35 the real-time chart starts to appear. As time progresses, the study keeps track of the current volatility and plots it on the screen. The purpose is to know every time the expected range for the session. Study the order flow and take positions accordingly. After months of real pain, the study is up and running! |
 Result-NQ.png / V - Attached On 2026-04-24 19:29:33 UTC - Size: 95.07 KB - 10 views Result-ES.png / V - Attached On 2026-04-24 19:29:39 UTC - Size: 89 KB - 6 views |
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