Conditional Volatility

6 algorithms in Volatility and Covariance · 6 with asserted arithmetic.

In this family#

1. ARCH verified

   Follow a squared shock through a finite coefficient queue. Supplied-parameter educational reference; no fitted performance claim.

   calculate(data)
2. GARCH verified

   Separate new shock information from carried variance. Supplied-parameter educational reference; no fitted performance claim.

   calculate(data)
3. EGARCH verified

   Compare signed standardized shocks on the log-variance scale. Supplied-parameter educational reference; no fitted performance claim.

   calculate(data)
4. GJR-GARCH verified

   Isolate the extra term activated by a negative lagged residual. Supplied-parameter educational reference; no fitted performance claim.

   calculate(data)
5. FIGARCH verified

   Keep retained fractional weights and omitted backcast mass separate. Supplied-parameter educational reference; no fitted performance claim.

   calculate(data)
6. HAR-RV verified

   Watch one elevated session enter and leave three overlapping horizons. Supplied-parameter educational reference; no fitted performance claim.

   calculate(data)

What they share#

Every topic here is a record-transform, so once you have called one the rest follow the same shape. Import paths differ only in the final segment:

import { calculate } from "fintech-algorithms/volatility-and-covariance/conditional-volatility/arch";
import { calculate } from "fintech-algorithms/volatility-and-covariance/conditional-volatility/garch";

Read them in the order above — the sequence is pedagogical, not alphabetical.

Where this sits#

Volatility and Covariance collects 22 algorithms across 4 families. For the concept behind this family rather than the call signatures, see the concept guides.