GARCH Indicator - Industrial Level Volatility Estimator - MetaTrader 5 Script - MT4/MT5 Resources

This Generalized Autoregressive Conditional Heteroskedasticity (GARCH) volatility/volume indicator is based on the GARCH(1,1) recursive model, which is used in financial markets to predict the volatility of financial asset price behavior. This statistical model is used in financial time series analysis, where it is assumed that the variance of the time series is autocorrelated and the error term (the difference between the model prediction and what actually occurs) has an autoregressive moving average process that can be modeled. The error terms in financial markets always change irregularly, hence the name heteroskedasticity .

Financial institutions use GARCH models as estimators of the volatility of stocks, bonds, and market indexes. The indicator has been tested on Forex, commodities (XAUUSD) and cryptocurrencies (BTCUSD).

This indicator may not work as expected on the M1, M5 timeframe.

Learn more about GARCH: https://www.investopedia.com/terms/g/garch.asp

Attachment download

📎garch_vol_threshold.mq5 (6.91 KB)

Source: MQL5 #61205