Input data for forecasting

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The Tutorial says use the most recent historical data  to forecast volatility. How long should most recent historical data be? Does it relate to the forecasting period?  Any useful suggestions?

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  • For forecasting purposes, we'd need at least (p+q+1) historical data. In case of GARCH(1,1), at least 3 most recent data points. I usually would select the whole time series, and let the function picks what it wants.

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