Stock Forecast Based On a Predictive Algorithm | I Know First |indices package Archives - Stock Forecast Based On a Predictive Algorithm

Modeling Volatility with TGARCH

This article was written by Sergey Okun – Senior Financial Analyst, I Know First, Ph.D. in Economics.

Volatility has a number of statistical properties that must be taken into account in the modeling process.
The TGARCH model is one of the GARCH family models which allows for modeling volatility.
I Know First provides volatility predictions for short-term and long-term periods based on the machine learning approach.

Subscribe to receive exclusive PREMIUM content here

This article was written by:

Sergey Okun – Financial Analyst at I Know First, Ph.D. in Economics.

Alisa Iartseva – Data analyst at I Know First.

The stock market has a long-term memory that allows us to make reliable predictions of the future based on previous behaviors and tendencies.
The S&P 500 has the highest Hurst exponent compared with the DAX 30, the CAC 40, and the FTSE 100.
The Hurst exponent rises with the extension of the step period length which decreases noise in a time series and increases predictability.