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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.

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