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- Thu Aug 03, 2017 2:59 pm
- Forum: Estimation
- Topic: Forecasting Variance with GARCH models
- Replies: 0
- Views: 634
Hello everybody, I’m working with monthly copper returns (1990-2016) and the purpose is to obtain variance forecasts of the next month in a rolling windows framework of 1 step. My In-sample data takes returns since 1990M02 to 2006M11, so the out-sample data covers 2006M12 to 2016M11. The problem is ...