Which one of them is the best to validate different stock market volatility models (i.e. GA- HMM, HMM-GARCH, EGARCH, APARCH, GARCH normal, EWMA model) where all will be validated under full sample period and sub periods, I believe that it depends on the estimation conditions and on the tradeoff between bias and variance. But one of them must fit those model more than others. Also I am using daily, weekly, monthly and annual data. So I must select the best method from the beginning to prepare the data with different time horizons.
Abdelrazzaq Alrababa'a
I don't know what is the wrong with my question? Really strange. Good bye research gate.
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