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BarryDTO:

I didn't see your reply to my post until now, and it's quite a random event that that I did actually. I don't read this board regularly, but I guess there's no excuse for not checking up on my own posts.

Let me first say that I'm impresed with the research you performed responding to my message. Second, I agree that in a backtest of an ordinary screen covering many years it doesn't matter much whether you are using GARCH or unconditional volatilities. It's only when you forecast volatility ahead on a short (say up to a year) horizon that knowledge of the current conditional volatility matters much.

Therefore, as you point out the precision of the estimated volatility increases as you sample more frequently for long horizons.

Datasnooper.
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