Search found 7 matches
- Sun Dec 28, 2014 10:25 pm
- Forum: Estimation
- Topic: GARCH(1,1) Forecast Series
- Replies: 19
- Views: 23668
Re: GARCH(1,1) Forecast Series URGENT
am i looking for a volatility forecast then maybe? or something combined?
- Sun Dec 28, 2014 9:54 pm
- Forum: Estimation
- Topic: GARCH(1,1) Forecast Series
- Replies: 19
- Views: 23668
Re: GARCH(1,1) Forecast Series URGENT
if i do it like this, am comparism is kinda useless http://i.imgur.com/5aRGlZ0.jpg top graph is real data bottom graph is 12/23/2010 - 12/23/2013 real data, 12/23/2013 - 12/23/2014 forecast aka flatline i dont know where my mistake is, but this is barely the forecast i was lookin for? maybe i am lo...
- Sun Dec 28, 2014 9:52 pm
- Forum: Estimation
- Topic: GARCH(1,1) Forecast Series
- Replies: 19
- Views: 23668
Re: GARCH(1,1) Forecast Series URGENT
if i do it like this, am comparism is kinda useless http://i.imgur.com/5aRGlZ0.jpg top graph is real data bottom graph is 12/23/2010 - 12/23/2013 real data, 12/23/2013 - 12/23/2014 forecast aka flatline i dont know where my mistake is, but this is barely the forecast i was lookin for?
- Sun Dec 28, 2014 9:47 pm
- Forum: Estimation
- Topic: GARCH(1,1) Forecast Series
- Replies: 19
- Views: 23668
Re: GARCH(1,1) Forecast Series URGENT
Sorry, I thought you wanted the GARCH series. Your first one was the forecast of the underlying series. You would expect the forecast to be a constant value. hm why is that? i am writing a paper with a very close deadline, merely minutes, not even hours anymore i modelled a garch modell and tested ...
- Sun Dec 28, 2014 9:32 pm
- Forum: Estimation
- Topic: GARCH(1,1) Forecast Series
- Replies: 19
- Views: 23668
Re: GARCH(1,1) Forecast Series URGENT
this one seems kinda wrong aswell :( it starts at 0.000108 and is constantly increasing 0.000001 per day? just to state it again, i am looking for a forecast of my "rendite" series of which is fitted the GARCH(1,1) model, so at the end i can a draw a combined graph of the actual rendite se...
- Sun Dec 28, 2014 9:00 pm
- Forum: Estimation
- Topic: GARCH(1,1) Forecast Series
- Replies: 19
- Views: 23668
Re: GARCH(1,1) Forecast Series URGENT
hey Gareth, thx a lot for ur reply! i did just what u told me, i resized the observations then i clicked on my garch11 equation, proc->forecast, changed the forecast sample to 12/23/2013 12/23/2014 then i might be unsure, but still tried both: - named the forecast rendite1_forecast - entered a name ...
- Sun Dec 28, 2014 8:14 pm
- Forum: Estimation
- Topic: GARCH(1,1) Forecast Series
- Replies: 19
- Views: 23668
GARCH(1,1) Forecast Series
Hello everyone, I am having some major problem, which I tried to solve for several days now and read through the complete forum already. i downloaded daily trading data of the DAX (german index), i have ~1000 oberservations from end 2010 - end 2014 i want to estimate a GARCH model based on end 2010 ...