I wish to do some in-sample volatility modelling on stock indices as well as individual stock.
Initially, I did a GARCH(1,1) on daily stock returns [rolling window]. This did not always come out well. The parameters were very unstable especially for those stocks which exhibited large fluctuations.
So my question is:
- If one wants to do "simple" in-sample volatility modelling, what approach would you suggest?
- Both on a 5-min. interval but also on daily data...?