Search found 3 matches

by maxime
Thu Jun 30, 2011 1:03 pm
Forum: Program Repository
Topic: Basic Rolling Regression
Replies: 133
Views: 207047

Re: Basic Rolling Regression

Perfect, Thanks alot.
by maxime
Mon Jun 27, 2011 12:25 pm
Forum: Program Repository
Topic: Basic Rolling Regression
Replies: 133
Views: 207047

Re: Basic Rolling Regression

Hi, So I am rolling a Garch model with 5yrs of estimation sample (1250 days) and a total sample of 12yrs (3000 days) to forecast violatility for the following month (about 22 days). I would like my estimation period to move up one month at a time which can sometimes be 19, 20, or 22 days depending o...
by maxime
Mon Jun 27, 2011 11:13 am
Forum: Program Repository
Topic: Basic Rolling Regression
Replies: 133
Views: 207047

Re: Basic Rolling Regression

Hello,
I was wondering if it was possible to perform a monthly rolling regression. For example instead of rolling for a certain amount of days the regression would be rolled at the begining of every month, seeing as not all months have the same amount of business days. Thank you.

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