Walk-forward GARCH(1,1) and GJR(1,1) volatility forecasting for portfolio construction. Recipes for univariate fits, DCC correlation, and position-sizing overlays. Campaign results: GJR vol-scaling +0.45 Sharpe (2bps), DCC de-weighting +0.05 Sharpe. No-lookahead discipline. Real data on BTC/ETH/SOL/
Walk-forward GARCH(1,1) and GJR(1,1) volatility forecasting for portfolio construction. Recipes for univariate fits, DCC correlation, and position-sizing overlays. Campaign results: GJR vol-scaling +0.45 Sharpe (2bps), DCC de-weighting +0.05 Sharpe. No-lookahead discipline. Real data on BTC/ETH/SOL/AVAX futures.