Recent content by zlyufl

Dear all: I am using GARCH model to estimate equity option volatility. If I would like to forecast the intra-day variation of volatility for, say, next one or two trading days. What would be the minimal length of estimation period (sample data) and what would be the optimal sampling frequency...

Ok, I realized I am entitled to answer your questions as a senior PhD student in finance who finished all preliminary exams of SOA and passed three levels of CFA, did quant internship on the street. 1) Completely agree with all the postings above. Besides, QF, SOA and CFA are distinctively...