One segment of a walk-forward: at each origin, fit on [0, origin] (warm from the previous origin's optimum as well as the grid) and forecast the mean variance of the next horizon returns. null where the fit did not converge or could not be made.
horizon
One segment of a walk-forward: at each origin, fit on [0, origin] (warm from the previous origin's optimum as well as the grid) and forecast the mean variance of the next
horizonreturns. null where the fit did not converge or could not be made.