Search found 2 matches
- Tue Jul 14, 2015 7:40 am
- Forum: Programming
- Topic: GARCH- rolling regressions
- Replies: 16
- Views: 24208
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...
- Mon Apr 27, 2015 4:13 am
- Forum: Programming
- Topic: GARCH- rolling regressions
- Replies: 16
- Views: 24208
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...