Search found 3 matches
- Thu Jun 30, 2011 1:03 pm
- Forum: Program Repository
- Topic: Basic Rolling Regression
- Replies: 134
- Views: 3867251
Re: Basic Rolling Regression
Perfect, Thanks alot.
- Mon Jun 27, 2011 12:25 pm
- Forum: Program Repository
- Topic: Basic Rolling Regression
- Replies: 134
- Views: 3867251
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...
- Mon Jun 27, 2011 11:13 am
- Forum: Program Repository
- Topic: Basic Rolling Regression
- Replies: 134
- Views: 3867251
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.
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.