Is it reliable to optimize portfolio weights on a yearly-rebalanced portfolio based on the Generalized Orthogonal GARCH (GO-Garch) covariance, coskewness, and cokurtosis matrices with the rmgarch R-package using daily estimates of ten stock indices over 5 years?

  • $\begingroup$ If the model describes the data well, it will do fine. If not, then not. There is no general answer to your question. $\endgroup$ Sep 24, 2016 at 18:07


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