I use Rugarch for a long time in order to calibrate GARCH models on FX rates time series and perform simulations.
I am trying to understand the ugarchroll method. However even if I can find plenty of examples and indications on how this method has to be used in the documentation as well as in the vignette, I still do not get what rolling estimation exactly is and what is its purpose.
Could you give me some explanations ? Thanks.