I would like to ask help concerning the utilization of GARCH(p,q) models to identify volatility. Suppose that I have daily closing prices of 6 financial sectors spanning several years, and I am interested in identifying which sector is the most and the least volatile (in terms of return). I have modeled their volatility using GARCH(p,q) and is now wondering how to use the estimated model to identify their volatility. Can I do the comparison by simply comparing the orders (perhaps, p) of their models? Or the coefficients?
P.S. I have a computation of historical volatility and am planning to supplement my findings with fitted GARCH(p,q) models. Can I do this?