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When modelling volatility do people tend to use expanding or sliding windows to predict the performance of MS GARCH models?

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In the volatility forecasting literature most apply a rolling window approach. This is motivated by the literature on forecasting evaluation that mostly allows for fixed or rolling windows for the tests to be asymptotically valid.

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  • $\begingroup$ This is also what I see in the academic literature. Whether the same is true among practitioners is another question (which I do not have an answer to). $\endgroup$ Apr 22 '18 at 16:51
  • $\begingroup$ Yes. I guess a lot of practioners use expanding windows. $\endgroup$ Apr 24 '18 at 23:11

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