garch-volatility-toolkit
GARCH Volatility Toolkit
Self-Evolving skill — if a recipe drifts from what actually reproduces (model spec, cost regime, campaign Sharpe numbers, library API), fix this SKILL.md in the same change; see the Post-Execution Reflection at the bottom.
Walk-forward GARCH(1,1) and GJR(1,1) recipes for volatility forecasting and portfolio construction. Tested on 20 seeds, 2025-26 test window, 2bps and 7bps cost regimes.
Campaign Results (honest): A negative-to-marginal result set, not a deployable edge. GJR inverse vol-sizing helps at LOW cost only (ensemble Sharpe +0.49→+1.00 @2bps) but is COST-FRAGILE — its +35% turnover erases the benefit at retail 7bps (Δ+0.02, p=0.54, coin-flip). DCC de-weighting is economically immaterial (+0.05–0.07). GARCH-as-features is a flat null. Per-seed p<0.0001 figures are inflated by applying a deterministic overlay to correlated seeds — use ensemble PSR instead. See CAMPAIGN_VERDICT.md. This skill's value is the METHODOLOGY (fitting recipes + leakage traps), not an alpha claim.