Hi pvestia,
Thank you for your quick answer!
I adjusted the range size, however, when I do the dynamic forecast, there is only a straight line from 2006 onward. Any idea why?
If I'm right, I can't use the static forecasting, since I don't have the actual values, correct?
Search found 3 matches
- Mon Aug 20, 2018 10:09 am
- Forum: Estimation
- Topic: What are the steps of forecasting realised volatility of swap rates using EViews?
- Replies: 5
- Views: 5076
- Mon Aug 20, 2018 8:07 am
- Forum: Estimation
- Topic: What are the steps of forecasting realised volatility of swap rates using EViews?
- Replies: 5
- Views: 5076
Re: What are the steps of forecasting realised volatility of swap rates using EViews?
Sure, Sorry I didn't do that earlier!
- Sat Aug 18, 2018 1:02 pm
- Forum: Estimation
- Topic: What are the steps of forecasting realised volatility of swap rates using EViews?
- Replies: 5
- Views: 5076
What are the steps of forecasting realised volatility of swap rates using EViews?
One part of my dissertation involves forecasting the realised volatilities of interest rates. I know that I have to first model the realised variance as a garch process. So, what I have done so far is, I got the swap rates from 2000-2006. Then, I calculated the logarithmic daily changes of them. Aft...