Search found 55 matches
- Fri Oct 07, 2011 10:18 am
- Forum: Programming
- Topic: Rolling GARCH with forecasting
- Replies: 26
- Views: 65880
Re: Rolling GARCH with forecasting
So should I assume that the problem would be with this specific version?
- Fri Oct 07, 2011 6:57 am
- Forum: Programming
- Topic: Rolling GARCH with forecasting
- Replies: 26
- Views: 65880
Re: Rolling GARCH with forecasting
Hi again,
The build version the university uses is January 7 2010.
I also tried the same with Eviews 5 and I did not have any problems. So probably there is something with this version. I do not know if you have any other suggestion.
The build version the university uses is January 7 2010.
I also tried the same with Eviews 5 and I did not have any problems. So probably there is something with this version. I do not know if you have any other suggestion.
- Thu Oct 06, 2011 6:36 am
- Forum: Programming
- Topic: Rolling GARCH with forecasting
- Replies: 26
- Views: 65880
Re: Rolling GARCH with forecasting
Dear Gareth, I have an updated copy of eviews 7. I am interested in forecasting with GARCH the conditional volatility of my series (sample in the Eviews file attached).I estimated GARCH with the first 1800 observations of my dataset. I click forecast, sample c for the mean equation, click static and...
- Wed Oct 05, 2011 2:03 pm
- Forum: Programming
- Topic: Rolling GARCH with forecasting
- Replies: 26
- Views: 65880
Re: Rolling GARCH with forecasting
Ok I will try to be as self-explanatory as I can. I built a GARCH (1,1) model for the series 'sample' as you can see from the specification of the equation in the file. So I put in the mean equation ' sample c' and then in GARCH 1 and ARCH 1 and threshold 0. I used the first 1800 observations for th...
- Wed Oct 05, 2011 10:52 am
- Forum: Programming
- Topic: Rolling GARCH with forecasting
- Replies: 26
- Views: 65880
Re: Rolling GARCH with forecasting
I am sorry I did not send you the eviews file with the equation.
Now you will be able to see it.
Now you will be able to see it.
- Wed Oct 05, 2011 6:53 am
- Forum: Programming
- Topic: Rolling GARCH with forecasting
- Replies: 26
- Views: 65880
Re: Rolling GARCH with forecasting
Hi, Probably its a stupid question but I am forecasting the conditional volatility with GARCH(1,1) model using static forecast in eviews. When I click forecast my last observation in the out-sample-forecast is N.A for both the conditional volatilty and the s.e (see vol1, vol2 in the attached). Isn't...
- Mon Sep 12, 2011 11:44 am
- Forum: Programming
- Topic: Diebold_Mariano Test
- Replies: 13
- Views: 20187
Re: Diebold_Mariano Test
Sorry I run it, I do not get any errors but nothing is added in my workfile... Strange?
- Mon Sep 12, 2011 11:39 am
- Forum: Programming
- Topic: Diebold_Mariano Test
- Replies: 13
- Views: 20187
Re: Diebold_Mariano Test
Excuse me bad writing, I meant I do not get the new object into the workfile!
- Mon Sep 12, 2011 10:19 am
- Forum: Programming
- Topic: Diebold_Mariano Test
- Replies: 13
- Views: 20187
Re: Diebold_Mariano Test
Dear Gareth, the problem is that I do not get the workfile either...
any ideas why? this is my data
when I press run and I get a new box 'run program' I should just press 'ok' right?
Sorry if the questions are stupid, I am quite a rookie...
any ideas why? this is my data
when I press run and I get a new box 'run program' I should just press 'ok' right?
Sorry if the questions are stupid, I am quite a rookie...
- Mon Sep 12, 2011 9:36 am
- Forum: Programming
- Topic: Diebold_Mariano Test
- Replies: 13
- Views: 20187
Re: Diebold_Mariano Test
Thanx Gareth,
I 've done what you said, I pressed run without having any errors but I do not get any results...
Do I have to do something else to see the results?
I 've done what you said, I pressed run without having any errors but I do not get any results...
Do I have to do something else to see the results?
- Mon Sep 12, 2011 9:00 am
- Forum: Programming
- Topic: Diebold_Mariano Test
- Replies: 13
- Views: 20187
Re: Diebold_Mariano Test
I am trying to use this code for the DM test but I get the error as in the image...
Could you help me?
Could you help me?
- Fri Jun 10, 2011 3:07 pm
- Forum: Estimation
- Topic: URGENT: AIC and SBIC criterion for forecasts
- Replies: 6
- Views: 7795
Re: URGENT: AIC and SBIC criterion for forecasts
Gareth I know this will make you laugh, but your last comment just cleared my mind on a lot of things I was troubled!! Sorry for the stupid question and thank u for the immediate response!!
- Fri Jun 10, 2011 2:57 pm
- Forum: Estimation
- Topic: URGENT: AIC and SBIC criterion for forecasts
- Replies: 6
- Views: 7795
Re: URGENT: AIC and SBIC criterion for forecasts
Well it isn't clear what you mean by "AIC of forecast". The AIC is a statistic based upon a likelihood function. I don't see how that fits in with a forecast. To make it more clear I have two series f1, f2 and I want to calculate their AIC1,AIC2 and BIC1,BIC2! This is what I want. I am a ...
- Fri Jun 10, 2011 2:35 pm
- Forum: Estimation
- Topic: URGENT: AIC and SBIC criterion for forecasts
- Replies: 6
- Views: 7795
Re: URGENT: AIC and SBIC criterion for forecasts
The point is to estimate the quality forecast by the bic and sic, I was just not sure if to get the bics and sics have to do a simple regression with each one or with all the forecasts together like: dependant sample and independent f1 f2 f3 ; it is just when I use one forecast the bics and sics of ...
- Fri Jun 10, 2011 12:26 pm
- Forum: Estimation
- Topic: URGENT: AIC and SBIC criterion for forecasts
- Replies: 6
- Views: 7795
URGENT: AIC and SBIC criterion for forecasts
Hello, I would like to now if it is possible to estimate the bic and aic criterion for some forecasts. For example if I have the 3 forecast results f1,f2,f3 and the original series 'sample' if i perform a regression for each one, meaning for example dependant variable sample and independent f1, I wi...