GARCH(1,1) forecasted true range TGVF
T_GARCH_VOL_FORECAST | volatility forecast | context | ticker | proposed
Logic
log_tr = log(true_range[t] + epsilon); demeaned = log_tr - SMA(log_tr, trailing_window); fit GARCH(1,1) on demeaned[t-fit_window:t]; forecast = exp(sigma2[t+1] + SMA(log_tr, trailing_window)); garch_vol_forecast = forecast / close[t]Edge-
Samples0
Definition
GARCH(1,1) one-step-ahead forecast of daily True Range, as a percentage of price. The forecast is computed on log-transformed, demeaned True Range to handle skew and isolate the volatility signal. Unlike T_HIGH_ADR (which measures current ATR level), this forecasts next-period volatility using the GARCH volatility-clustering model.
Logic Triples
No first-class ontology mapping yet. Showing fallback logic: log_tr = log(true_range[t] + epsilon); demeaned = log_tr - SMA(log_tr, trailing_window); fit GARCH(1,1) on demeaned[t-fit_window:t]; forecast = exp(sigma2[t+1] + SMA(log_tr, trailing_window)); garch_vol_forecast = forecast / close[t]
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