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Hello, I’m engaged on a venture the place I’m attempting to estimate the volatilty of an index future utilizing GARCH. Nevertheless, I’m caught! Since there are a number of futures buying and selling on a single date with completely different expiries, this implies there are a number of completely different future closing costs. Nevertheless, for GARCH I would like a sequential information, one for every day. However I’ve a sequential information, a number of values for a single date. How ought to I mannequin this taking into account some futures would possibly expire within the information. PS – Beneath is the article I’m attempting to implement https://preview.redd.it/y64495yci02e1.png?width=1080&format=png&auto=webp&s=872df92f137ca750653a993e73c39078d23caa84 submitted by /u/Natural_Possible_839 |