Back to Community
GARCH Volatility (RV(t+1) - IV) Revisited

Reimplemented GARCH Volatility RV(t+1) - IV from Ernie Chan

Beta & drawdown still too high.

Clone Algorithm
50
Loading...
Backtest from to with initial capital
Total Returns
--
Alpha
--
Beta
--
Sharpe
--
Sortino
--
Max Drawdown
--
Benchmark Returns
--
Volatility
--
Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 57e95ef7790d9c1048d50ff7
There was a runtime error.
3 responses

Looks good until the end of 2014. Then it flatlines.

Yeah, I wonder why that is...

I would assume because the market went mostly flat then and beta is > 1?