This indicator is for educational purposes to lay the groundwork for future closed/open source indicators. Some of thee future indicators will employ parameter estimation methods described below, others will require complex solvers such as the Nelder-Mead algorithm on log likelihood estimations to derive optimal parameter values for omega, gamma, alpha, and beta...
The Garch (General Autoregressive Conditional Heteroskedasticity) model is a non-linear time series model that uses past data to forecast future variance.
The Garch (1,1) formula is:
Garch = (gamma * Long Run Variance) + (alpha * Squared Lagged Returns) + (beta * Lagged Variance)
The gamma, alpha, and beta values are all weights used in the Garch calculations....
![ES1!: HMA w/ SSE-Dynamic EWMA Volatility Bands [Loxx]](https://s3.tradingview.com/t/t9iZrp5c_mid.png "HMA w/ SSE-Dynamic EWMA Volatility Bands [Loxx]")
