I want to use a GARCH(1,1) model to impute the missing data at the beginning of a time series, but GARCH model is normally used for predicting future data, is there a way to modify GARCH(1,1) so that it also works for imputing historical data?
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Sign up to join this communityI want to use a GARCH(1,1) model to impute the missing data at the beginning of a time series, but GARCH model is normally used for predicting future data, is there a way to modify GARCH(1,1) so that it also works for imputing historical data?