/rough-vol-forecast
Rough-volatility-scaled vol forecast (Bayer-Friz-Gatheral 2016) for a ticker across multiple horizons. Under rough vol, realized vol scales as h^H with H around 0.14 empirically (Livieri et al. 2018), much slower than the sqrt(t) growth of Brownian motion. This dampens
$ npx -y skills add rgourley/quant-garage --skill rough-vol-forecast --agent claude-codeHow it fires
How this skill gets triggered: by you, by Claude, or both.
- Fires itselfAuto-invocation. Claude auto-loads it when your prompt matches the work.
- You can call itInvoke it directly when you want it.
- Slash command
/rough-vol-forecast
Context preview
The summary Claude sees to decide when to auto-load this skill.
Rough-volatility-scaled vol forecast (Bayer-Friz-Gatheral 2016) for a ticker across multiple horizons. Under rough vol, realized vol scales as h^H with H around 0.14 empirically (Livieri et al. 2018), much slower than the sqrt(t) growth of Brownian motion. This dampens
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Other skills on quant-garage.
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Scan SEC 8-K disclosures across a single ticker or a watchlist using Massive's pre-parsed disclosure taxonomy. Groups the underlying rows by filing (one 8-K carries N tagged Items), ranks by signal bucket (M&A / Restatement / Material agreement / Regulatory / Leadership change /
Open skill - /analyst-tracker
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Open skill - /change-point-detector
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Open skill