garch-volatility-toolkit

SKILLWorkflowcommunity
v0.0.0terrylicaMITUpdated 1mo agoSource →

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/

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1mo agoLast update
Skill
Authorterrylica
Version0.0.0
LicenseMIT
CategoryWorkflow
Formatsskill.md
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Claude✓ Supported
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About

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.

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