Input data for forecasting


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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