Search found 6 matches
- Tue Feb 13, 2018 9:26 am
- Forum: Econometric Discussions
- Topic: Forecasting volatility
- Replies: 0
- Views: 2065
Forecasting volatility
Hello everyone! I am writing my thesis on forecasting volatility with GARCH , asymmetric CGARCH and TGARCH in 1-step, 5-step and 20-step assuming normal and student-t distribution and using 2 estimation windows. I want to discuss about the link between heteroscedasticity and fat tails and also why d...
- Tue Sep 26, 2017 12:44 pm
- Forum: Programming
- Topic: T-Garch Coding
- Replies: 0
- Views: 1743
T-Garch Coding
Hi all,
Does anyone know how I can write the code for T-Garch?
Thank you in advance!
Does anyone know how I can write the code for T-Garch?
Thank you in advance!
- Sun Sep 24, 2017 2:07 am
- Forum: Econometric Discussions
- Topic: Garch Rolling Forecast
- Replies: 0
- Views: 2619
Garch Rolling Forecast
Hello everyone, I am working on my thesis which is evaluating forecasting performance in different time horizons. I am using rolling window and the tests that I am going to apply are MSE and QLIKE. So far I have run GARCH(1,1) and CGARCH and the results I have are GARCH(1,1) : MSE --> 0.000142130828...
- Thu Jul 20, 2017 2:41 am
- Forum: Econometric Discussions
- Topic: QLIKE
- Replies: 1
- Views: 3123
QLIKE
Dear Members I am working on my thesis about evaluating forecasting performance with Garch models in different time horizons. I want to perform the QLike. The problem is that the internet doesn't have enough information about it. Could someone help me how to set it and how to interpret the results? ...
- Tue Jun 13, 2017 3:34 am
- Forum: Programming
- Topic: Rolling window forecast of volatility with C-GARCH
- Replies: 2
- Views: 4392
Re: Rolling window forecast of volatility with C-GARCH
Thank you very much Gareth for your quick response, you helped my very much and i changed my code. The problem is that even though i made the series forecasting volatility my results are really poor in performance, plus when i try to estimate it with GARCH(1,1) I have many missing values in the fore...
- Mon Jun 12, 2017 11:08 am
- Forum: Programming
- Topic: Rolling window forecast of volatility with C-GARCH
- Replies: 2
- Views: 4392
Rolling window forecast of volatility with C-GARCH
Hi Guys! I need to do a rolling estimation of a C-GARCH, outputting 1-day ahead forecast for the conditional variance. I have observations of 4 years and i need a rolling window of the first 2. I found a code in the forum and i adjusted it to my needs. The problem is that the forecast series are on ...