Anyone got opinion on combining fat loss analysis with volatility clustering with GARCH?
I started playing with this in Matlab. This is my next strategy investigation after I verify everything in my basic Excel pair trading system. Here is why I think ths combination is deadly powerful:

1. Volatility clustering with GARCH in Matlab is very easy. Volatility offers many trading opportunities so if you automate, all I can say is wow.
2 Why fat tail analysis with statistical techniques? Any book you read explains the disturbances or even shicks in the markets can be extreme as in profit opportunities. From what I see, it offers the highest potential for most luractive trading out. Period. End of story.
So starting this week I am hoping to investigate but let me know your thoughts on this