Which is better, shorter or longer period for volatility forecast?
In the GARCH Volatility forecast tutorial, why did you use Monthly data? Is it better to use monthly data or probably a shorter/longer period might work? I used weekly stock prices
In the GARCH Volatility forecast tutorial, why did you use Monthly data? Is it better to use monthly data or probably a shorter/longer period might work? I used weekly stock prices
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It depends on the holding period and the availability of data (off course), in other words, how long you are planning to buy and hold the stock for: month, week, year, day, etc. In time series modeling, data with different sampling frequency may have very different models.
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