Currently studying on financial risk management. I want to test different methods of VaR estimation. I want to model volatility using a GARCH(1,1) model. My question is what should the size of the sample be, given the fact that I use intraday data and need a 1-day forecast.

Secondly, when should I calibrate the GARCH(1,1) model. Should I re-estimate the equation daily or do static forecasts and re-estimate the equation in a preselected horizon (e.g 1 year)?


Your Answer

By clicking "Post Your Answer", you acknowledge that you have read our updated terms of service, privacy policy and cookie policy, and that your continued use of the website is subject to these policies.

Browse other questions tagged or ask your own question.