I would like to compare a daily trade w.t.d. $index over the period of 10 years+ versus the shorter term (170 days) using
The short term data derives from the 10 year+ data. The trouble is that the 10 year time series is heteroskedastic, whereas the shorter data is not.
Can I apply
GARCH(1,1) on the shorter term data as well even though it's not heteroskedastic (on the basis that it would be heteroskedastic if they were to be measured over a long period of time, and that the shorter period data derived from the longer period data)?