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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?

Sure, Sorry I didn't do that earlier!

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...