# GARCH-family Clustering GARCH-family Clustering is an indicator on [Vela](https://vela.luxalgo.com/chart), our next-generation charting platform, written in Pine Script®. Conditional volatility from GARCH(1,1), GJR-GARCH(1,1) or EGARCH(1,1): coefficients come from a rolling quasi-MLE grid fit over a 250-bar window or manual entry, with the long-run anchor pinned by variance targeting. A decaying multi-step forecast, optional EWMA benchmark, regime shading, shock marks and a persistence and half-life dashboard expose the model's mechanics. - Indicator in the LuxAlgo Library, by LuxAlgo, published Feb 21, 2026. - Access: free. - Concepts: [GARCH-family Clustering](https://www.luxalgo.com/library/concept/garch-family-clustering/) (primary) - Open on Vela: https://vela.luxalgo.com/chart?pineScriptCodeId=sqf4h3v1a9qaou5dbnb5mq90 - Page: https://www.luxalgo.com/library/indicator/garch-family-clustering/ **GARCH-family Clustering** runs GARCH(1,1), GJR-GARCH(1,1) or EGARCH(1,1) in a pane, plotting conditional volatility with its long-run anchor, a mean-reverting forecast path and the active coefficients. The recursions, variance-targeting anchor and quasi-MLE grid fit follow the published [GARCH-family clustering](https://www.luxalgo.com/library/concept/garch-family-clustering/) models; GJR and EGARCH add the leverage effect where sell-offs expand volatility more than rallies. ## How to Trade the GARCH-family Clustering? - **Stressed regime**: conditional volatility crossing above the long-run anchor (alertable) opens a phase where elevated volatility tends to persist. Widen stops, trim size. - **Calm regime**: decay back below the anchor restores compression conditions. - **Volatility shocks**: a return beyond the sigma threshold marks the surprises whose aftermath the persistence term stretches out. - **Forecast path**: the dotted projection decays toward the anchor at the persistence rate, a horizon read for sizing decisions. ## GARCH-family Clustering Settings - **Model** (default GARCH(1,1)): the symmetric workhorse, or GJR / EGARCH for leverage effects. - **Source** (default close) and **Window Length** (default 250): the sample behind the anchor and the fit. - **Annualize** (default enabled) with **Bars Per Year** (default 252): comparability across instruments. - **Parameters** (default Fitted (rolling quasi-MLE grid)) with **Refit Every (bars)** (500); **Alpha - News** (0.10), **Beta - Persistence** (0.85) and **Gamma - Asymmetry** (0.05) drive Manual mode and seed the recursion until the first fit. - **Show Forecast** (on) with **Horizon** (20); **EWMA Benchmark** (off) with **Lambda** (0.94); **Shock Threshold (sigmas)** (2.0) and **Mark Shocks** (off). - **Show Dashboard** (on); **Regime Shading** (default Stressed), colors and **Gradient Fill** are style options. ## Frequently Asked Questions ### How is this different from EWMA volatility? [EWMA Volatility](https://www.luxalgo.com/library/indicator/ewma-volatility/) is the limiting case (persistence pinned at one, with no anchor to revert to) so shocks never fully decay. Overlay the built-in benchmark and watch how fast the GARCH line peels away after a shock: the quicker the separation, the stronger the anchor's pull. ### Should I use fitted or manual parameters? Fitted re-estimates the coefficients on a coarse likelihood grid at each refit interval. Manual replicates published estimates or stress-tests persistence, and it also runs the recursion until the first fit completes. ### What do persistence and half-life mean in the dashboard? Persistence is the combined weight of news and memory (alpha plus beta, plus half of gamma for GJR), or beta alone for EGARCH; the closer to one, the longer volatility episodes last. Half-life converts that into bars until half a shock has decayed. ## Related indicators - [Hot Zone Radar](https://www.luxalgo.com/library/indicator/hot-zone-radar/) (Volatility Percentile/rank): markdown at https://www.luxalgo.com/library/indicator/hot-zone-radar.md - [Volatility Signature Plot](https://www.luxalgo.com/library/indicator/volatility-signature-plot/) (Volatility): markdown at https://www.luxalgo.com/library/indicator/volatility-signature-plot.md - [The Range Indicator](https://www.luxalgo.com/library/indicator/the-range-indicator/) (Volatility): markdown at https://www.luxalgo.com/library/indicator/the-range-indicator.md - [Jump Detection](https://www.luxalgo.com/library/indicator/jump-detection/) (Volatility): markdown at https://www.luxalgo.com/library/indicator/jump-detection.md - [Volatility of Volatility](https://www.luxalgo.com/library/indicator/volatility-of-volatility/) (Volatility): markdown at https://www.luxalgo.com/library/indicator/volatility-of-volatility.md - [Garman-Klass–Yang-Zhang Hybrid](https://www.luxalgo.com/library/indicator/garman-klass-yang-zhang-hybrid/) (Volatility): markdown at https://www.luxalgo.com/library/indicator/garman-klass-yang-zhang-hybrid.md - [Kase Studies](https://www.luxalgo.com/library/indicator/kase-studies/) (Volatility): markdown at https://www.luxalgo.com/library/indicator/kase-studies.md - [Yang-Zhang Estimator](https://www.luxalgo.com/library/indicator/yang-zhang-estimator/) (Volatility): markdown at https://www.luxalgo.com/library/indicator/yang-zhang-estimator.md --- Source: https://www.luxalgo.com/library/indicator/garch-family-clustering/ (LuxAlgo Library). Free to use with attribution: https://www.luxalgo.com/library/license/