I went through your YouTube channel and really appreciate the content you are providing to us.
I am a PhD student in finance area. I got a idea while i was reading a business newspaper. The concept is related to REITs and Infrastructure investment trusts (InvITs). These are pretty new to India (Introduced during 2017-2020 period). We have 5-6 such trusts traded on exchanges. They have fared well during covid-19 and i want to use GARCH methodology to test diversifier, hedge, and safe haven properties of REITs/InvITs against traditional assets such as equity, gold, commodities like Oil etc. However we have only 5-6 companies with data ranging from 1 to 5 years. Can GARCH models are useful for shorter time period. Or do you think i have to apply other methodologies?
Sorry for creating a new thread. I could not post my question in the existing thread.
I would usually say you need about 1000 days of observations in order to get accurate GARCH estimates. That translates to about 4 years of trading data (250 biz days a year).
GARCH is not a magic bullet. Maybe GARCH effects aren’t present…
What are you trying to achieve exactly? GARCH is a tool to measure volatility that is heteroskedastic (i.e. it moves about) and is autoregressive (yesterday will influence today). If those properties aren’t present, then…it’s the wrong tool.