garch 1.2.2 → 1.2.4

package/README.md

@@ -33,7 +33,8 @@ const result = predict(candles, '4h');
 // {
 //   currentPrice: 97500,
 //   sigma: 0.012,          // 1.2% per-period volatility
-//   move: 1177,            // upward expected move (upper - current)
+//   move: 1177,            // upward expected move (upper - current), in dollars
+//   movePercent: 1.21,     // upward expected move, in percent (0–100)
 //   upperPrice: 98677,     // P·exp(+σ) — ceiling
 //   lowerPrice: 96337,     // P·exp(-σ) — floor
 //   modelType: 'egarch',
@@ -87,7 +88,8 @@ Higher confidence = wider corridor. `sigma` stays the same (it's the model's vol
 interface PredictionResult {
   currentPrice: number;           // Reference price
   sigma: number;                  // One-period volatility (decimal, e.g. 0.012 = 1.2%)
-  move: number;                   // Upward price move = upperPrice - currentPrice
+  move: number;                   // Upward price move = upperPrice - currentPrice (dollars)
+  movePercent: number;            // Upward price move in percent (0–100), e.g. 1.21 = 1.21%
   upperPrice: number;             // P · exp(+z·σ)
   lowerPrice: number;             // P · exp(-z·σ)
   modelType: 'garch' | 'egarch' | 'gjr-garch' | 'har-rv' | 'novas'; // Auto-selected model
@@ -108,7 +110,8 @@ const range = predictRange(candles, '4h', 5);
 // {
 //   currentPrice: 97500,
 //   sigma: 0.027,           // cumulative ~2.7% over 5 candles
-//   move: 2669,             // upward expected move
+//   move: 2669,             // upward expected move, in dollars
+//   movePercent: 2.74,      // upward expected move, in percent (0–100)
 //   upperPrice: 100169,     // P·exp(+z·σ)
 //   lowerPrice: 94901,      // P·exp(-z·σ)
 //   modelType: 'egarch',

package/build/index.cjs

@@ -1793,6 +1793,7 @@ function predict(candles, interval, currentPrice, confidence = 0.6827) {
         currentPrice,
         sigma,
         move: upperPrice - currentPrice,
+        movePercent: (upperPrice / currentPrice - 1) * 100,
         upperPrice,
         lowerPrice,
         reliable: checkReliable(fit),
@@ -1819,6 +1820,7 @@ function predictRange(candles, interval, steps, currentPrice, confidence = 0.682
         currentPrice,
         sigma,
         move: upperPrice - currentPrice,
+        movePercent: (upperPrice / currentPrice - 1) * 100,
         upperPrice,
         lowerPrice,
         reliable: checkReliable(fit),

package/build/index.mjs

@@ -1791,6 +1791,7 @@ function predict(candles, interval, currentPrice, confidence = 0.6827) {
         currentPrice,
         sigma,
         move: upperPrice - currentPrice,
+        movePercent: (upperPrice / currentPrice - 1) * 100,
         upperPrice,
         lowerPrice,
         reliable: checkReliable(fit),
@@ -1817,6 +1818,7 @@ function predictRange(candles, interval, steps, currentPrice, confidence = 0.682
         currentPrice,
         sigma,
         move: upperPrice - currentPrice,
+        movePercent: (upperPrice / currentPrice - 1) * 100,
         upperPrice,
         lowerPrice,
         reliable: checkReliable(fit),

package/package.json

@@ -1,7 +1,12 @@
 {
   "name": "garch",
-  "version": "1.2.2",
+  "version": "1.2.4",
   "description": "GARCH and EGARCH volatility models for TypeScript",
+  "funding": {
+    "type": "individual",
+    "url": "http://paypal.me/tripolskypetr"
+  },
+  "homepage": "https://backtest-kit.github.io/documents/article_07_ai_news_trading_signals.html",
   "type": "module",
   "main": "./build/index.cjs",
   "module": "./build/index.mjs",

package/types.d.ts

@@ -498,12 +498,21 @@ declare function probit(confidence: number): number;
 
 type CandleInterval = '1m' | '3m' | '5m' | '15m' | '30m' | '1h' | '2h' | '4h' | '6h' | '8h';
 interface PredictionResult {
+    /** Reference price used to compute the corridor (last close or the value passed as `currentPrice`). */
     currentPrice: number;
+    /** One-period (or cumulative) volatility estimate, as a decimal log-return standard deviation (e.g. `0.012` = 1.2%). */
     sigma: number;
+    /** Upward expected move in price units: `upperPrice - currentPrice`. */
     move: number;
+    /** Upward expected move in percent (0–100 scale, e.g. `1.21` means 1.21%). Equal to `(exp(z·σ) - 1) * 100`. */
+    movePercent: number;
+    /** Upper price band: `currentPrice · exp(+z·σ)`. */
     upperPrice: number;
+    /** Lower price band: `currentPrice · exp(-z·σ)`. Always positive. */
     lowerPrice: number;
+    /** Volatility model auto-selected by QLIKE. */
     modelType: 'garch' | 'egarch' | 'gjr-garch' | 'har-rv' | 'novas';
+    /** `true` when the model converged, persistence < 0.999, and Ljung-Box p-value ≥ 0.05. */
     reliable: boolean;
 }
 /**