Search found 2 matches

by arga
Tue Jul 14, 2015 7:40 am
Forum: Programming
Topic: GARCH- rolling regressions
Replies: 16
Views: 8716

Re: GARCH- rolling regressions

Hi, I´m trying to do a rolling regression with fix window of 500 observations, and obtain the one step ahead vol. forecasts of an APARCH model whoever I get an error. Can you help me with this problem? mode quiet 'declare series to store the output series rf series volf 'set window size !window = 50...
by arga
Mon Apr 27, 2015 4:13 am
Forum: Programming
Topic: GARCH- rolling regressions
Replies: 16
Views: 8716

Re: GARCH- rolling regressions

Hi, I'm trying to estimate a rolling regression garch with a moving window of 500 observations, and a 1 period ahead forecast of returns and conditional variance. however may variance series only have the last 500 forecasts, it should have 3615. 'declare series series r 'set window size !window = 50...

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