By Murray A. Ruggiero Jr. | January 29, 2018
Last month we discussed the complexity required in testing and optimizing Arima-Garch trading models (see “Arima-Garch Out of the Lab, Into Trading,” Modern Trader, January 2018). We backtested our Arima-Garch hybrid model discussed last month to the S&P 500. Here is how it did.
