3

Yes, this is legitimate for obtaining point estimates of $\omega,\alpha,\beta$. To utilize the data fully, you would find all sets of consecutive nonoverlapping periods and use all of them in estimation. (In financial econometrics and time series analysis, estimation is the common word for what you mean here with calibration.) E.g. if you have daily data (...


3

I think all the previous answers have small mistakes: Given that you have derived the return over the period of interest, i.e. in your case 2009-2020 we can then: Compute the return at the granularity level of your data i.e: $r_{quarterly}=(1+r_{total_{period}})^{\frac{1}{number_{datapoints}}}-1$ This is then the return of the whole period on a quarterly ...


2

If you have a Bloomberg terminal, you can lookup vols for different currencies and indexes with the VCUB function, where you can check the raw market input data and the surface construction parameters (vol type, interpolation, calibration, tenors, etc) and output. You will have to have a Bloomberg licence because they don't really "offer" this data ...


1

VCUB will not show caplet vol but shows cap vol (as one of the inputs). Caplets are a sequential series of interest rate options (that together form the cap). You need cap stripping to extract the volatilities of individual caplets implied by the quotes of the caps that consist of them. Do you really need the caplets directly? Since you have access to BBG - ...


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