saurabhatkekar wrote:Hi TOM
i have 2 queries
1. Can you pls little more elaborate on why we need not recalibrate the GARCH paramaters for different horizon?
If you don't understand how a daily GARCH model is used to predict volatility over longer spans of time, you need to read up on that. See for instance, Tsay's "Analysis of Financial Time Series", section 7.3.1.