I am working on calibrating a Heston model from simulated historical stock data.
After obtaining an accurate estimate of the model parameters I found very large 95% confidence intervals for these estimations if the sample size is about 10-15 years.
In view of the graph below, how would you choose the ideal sample size?
A 5-10 years period seems small since a large confidence interval means that there is a large uncertainty about the estimation. On the other hand, it appears useless to accept a sample size for which the confidence interval is small (50 years) since shorter periods provides good enough estimates.
I am a little confused as to how to interpret these results.