Thanks for your reply!! So I will explain a bit more of my problem. I want to perform a stress test on my portfolio of equities. So basically, I want to see the impact of shock in macroeconomic ...
I have implemented the following model: daily_vol(t+1) = A*daily_vol(t) + B*weekly_vol(t) + C*monthly_vol(t) + error where vol means volatility, and A, B, C are ...