Volatility Modeling & Regimes
Forecast volatility with the GARCH family — asymmetry and leverage effects, dynamic correlations, vol targeting — then detect market regimes with HMMs and trade adaptively.
- 01
Jul 10, 2026 #volatilityGARCH(1,1): Kripto o'zgaruvchanligini bashorat qilish
GARCH(1,1) modeli kriptodagi o'zgaruvchanlik klasterlanishini qanday qamrab olishi, uni arch kutubxonasi yordamida maksimal ehtimollik bilan qanday moslashtirish va shartli-dispersiya bashoratlarini pozitsiya hajmi hamda dinamik stoplarga qanday aylantirish.
- 02
Jul 11, 2026 #volatilityAssimetrik va Og'ir Dumli GARCH: EGARCH, GJR va Student-t
Oddiy GARCH(1,1) yaxshi va yomon yangiliklarni bir xil ko'rib, Gauss shoklarini faraz qiladi. EGARCH, GJR-GARCH va Student-t/skew-t innovatsiyalari ikkalasini ham tuzatadi — va kripto uchun haqiqiy VaR va Expected Shortfall beradi.
- 03
Jul 12, 2026 #volatilityDCC-GARCH: Pair savdo va portfel riski uchun dinamik korrelatsiyalar
Kripto korrelatsiyalar doimiy emas — har bir tushishda ular 1 ga tomon otilib chiqadi. DCC-GARCH vaqt bo'yicha o'zgaruvchan korrelatsiya matritsasini modellashtirib, pair savdo uchun dinamik hedge nisbatlarini va portfel riskini haqqoniy, vaqt bo'yicha o'zgaruvchan tarzda beradi.
- 04
Jul 13, 2026 #volatilityVolatillikni maqsad qilish va GARCH prognozlari bilan savdo qilish
GARCH volatillik prognozi faqat savdo qarorini yaxshilagandagina qadrga ega bo'ladi. Biz volatillikka yo'naltirilgan kripto strategiyasini quramiz, prognoz sifatini halol baholaymiz va walk-forward backtestda GARCHni realized-vol hamda EWMA bazaviy modellariga qarshi solishtiramiz.
- 05
Mar 21, 2026 #hmmHidden Markov Models in Trading: How to Adapt Your Strategy to Market Regimes
How to identify the current market regime (bull, bear, sideways) using Hidden Markov Models and automatically switch trading strategies. With Python code and backtests.