Search found 31 matches
- Thu Jan 20, 2011 9:59 pm
- Forum: Estimation
- Topic: Dynamic Forecast
- Replies: 3
- Views: 4795
Re: Dynamic Forecast
Can someone tell me where in the Eviews User Guide I can learn more about modeling volatility?
- Thu Jan 20, 2011 9:12 pm
- Forum: Estimation
- Topic: Dynamic Forecast
- Replies: 3
- Views: 4795
Dynamic Forecast
Can someone tell me if there is a setting I can change when I creaste a Dynamic forecast to capture the volatility of a series? I have uses an ARMA(1,1) to model the series attached (it is daily data) but the forecast just gives me this straight line. I see a Static forecast is more realistic, but I...
- Thu Jan 20, 2011 8:46 pm
- Forum: Models
- Topic: Static Forecast
- Replies: 1
- Views: 4103
Static Forecast
Does anyone know if there is a way to use the Static Forecast option for multiple periods forward? When I use teh Dynamic option I get a forecast that does not make sense, but when I use the Static option the Forecast is more realistic.
- Wed Jan 19, 2011 6:48 pm
- Forum: General Information and Tips and Tricks
- Topic: Outbox
- Replies: 1
- Views: 2987
Outbox
Does anyone know how to get messages to send that have been sitting in your Outbox for long periods of time and never seemed to get sent?
- Wed Jan 19, 2011 5:21 pm
- Forum: Econometric Discussions
- Topic: GARCH Models
- Replies: 1
- Views: 3498
GARCH Models
Does anyone know why there is no Make Model option under Proc when you are estimating a GARCH Model? Also, when you are making a model that is both Stochastic and Static is there a way to get Eviews to forecast multiple periods forward rather than just one period at a time?
- Mon Jan 17, 2011 4:59 pm
- Forum: Estimation
- Topic: GARCH Conditional Standard Deviation
- Replies: 1
- Views: 4248
GARCH Conditional Standard Deviation
Can someone tell me exactly how I can interpret the Standard Deviation output from a GARCH model (attached)?
Is that an annualized Standard Deviaition? Also, is there a way to get the output in a table?- Thu Jan 13, 2011 1:28 pm
- Forum: Models
- Topic: Deterministic vs. Stochastic and Static vs. Dynamic
- Replies: 0
- Views: 4129
Deterministic vs. Stochastic and Static vs. Dynamic
I am trying to model and forecast some quity indices using daily data. I woudl think when I create the model I want to use the Static option (as equity returns I believe will be independent of time, so using the Dynamic option would not seem to make sense). I am not quite as sure about the Determini...
- Thu Jan 13, 2011 11:45 am
- Forum: Estimation
- Topic: GARCH
- Replies: 2
- Views: 3130
GARCH
Does anyone know how to pull the volatility forecast from a GARCH into a table? Also, if I want to get what the average volatility is assumed to be by the model do I just use the last data point of the GARCH forecast or do i use teh average using all data points over the forecast period?
- Wed Jan 12, 2011 10:58 pm
- Forum: Estimation
- Topic: Dynamic & Static Forecasting
- Replies: 1
- Views: 5362
Dynamic & Static Forecasting
I am trying to Forecast an ARMA model using daily data going out one year (250 data points). I want to use the Static forecast, but it appears as though I have to run the model and forecast one dy at a time. Is there a way around that? When I use the Dynamic option that just sems to extrapolate a st...
- Mon Oct 04, 2010 8:11 pm
- Forum: Econometric Discussions
- Topic: Short Term Interest Rate ARMA
- Replies: 1
- Views: 2823
Short Term Interest Rate ARMA
I am trying to forecast the LIBOR-OIS rate using monthly data going back to 2003. The SIC seems to suggest an ARMA(1,0) or ARMA(1,1). I have tried various models, and they consistently show the rate turning negative. I think it's a possibility, but highly unlikely. Is there a way to put a lower boun...
- Mon Jan 18, 2010 8:56 pm
- Forum: Programming
- Topic: R-Squared Output
- Replies: 1
- Views: 2739
R-Squared Output
Does anyone know how to make this output come out in one work file on one line only? I get multiple workfiles with a whole row of data. smpl 1999M12 2009M12 equation model11.ls cncl c unemp(-1) hpi(-1) equation model22.ls cncl c unemp(-2) hpi(-2) equation model33.ls cncl c unemp(-3) hpi(-3) equation...
- Sat Jan 09, 2010 2:23 pm
- Forum: Econometric Discussions
- Topic: Model Solution Dynamics
- Replies: 2
- Views: 3972
Model Solution Dynamics
Does anyone know if there is a test to determine whether it is best to model a solution in a VAR model as Dynamic or Static? I am modeling some interest rates. I seem to come up with the same forecast for short term rates, but for long term rates the models give me significantly different forecasts....
- Mon Jan 04, 2010 8:24 pm
- Forum: Programming
- Topic: ARMA Program
- Replies: 2
- Views: 6913
ARMA Program
Does anyone know if there is a way to set the sample size within a program? I have a program set up that calculates the AIC and SIC for various ARMA models, but I believe I need to shorten the sample (from the start) so that the AIC and SIC will be comparable with the degrees of freedom. My program ...
- Sat Dec 05, 2009 5:56 pm
- Forum: Estimation
- Topic: ARMA
- Replies: 1
- Views: 2662
ARMA
Doe anyone know what it means when you run an ARMA and no values populate for the standard error, t-statistic and probability? I use the AIC and SIC and they both select an ARMA(4,3). When I run the model none of those values show up. I don't think its the size (when I add a fourth MA term I get tho...
- Sat Dec 05, 2009 10:49 am
- Forum: Estimation
- Topic: VECM
- Replies: 0
- Views: 1993
VECM
Does anyone know how to lag the Cointegrating Equation in a VECM?