Search found 6 matches

by foivos90
Tue Feb 13, 2018 9:26 am
Forum: Econometric Discussions
Topic: Forecasting volatility
Replies: 0
Views: 45

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...
by foivos90
Tue Sep 26, 2017 12:44 pm
Forum: Programming
Topic: T-Garch Coding
Replies: 0
Views: 263

T-Garch Coding

Hi all,
Does anyone know how I can write the code for T-Garch?

Thank you in advance!
by foivos90
Sun Sep 24, 2017 2:07 am
Forum: Econometric Discussions
Topic: Garch Rolling Forecast
Replies: 0
Views: 363

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...
by foivos90
Thu Jul 20, 2017 2:41 am
Forum: Econometric Discussions
Topic: QLIKE
Replies: 1
Views: 356

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? ...
by foivos90
Tue Jun 13, 2017 3:34 am
Forum: Programming
Topic: Rolling window forecast of volatility with C-GARCH
Replies: 2
Views: 617

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...
by foivos90
Mon Jun 12, 2017 11:08 am
Forum: Programming
Topic: Rolling window forecast of volatility with C-GARCH
Replies: 2
Views: 617

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 ...

Go to advanced search