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Hi all, I am using eviews 5 and have written a code by modifying from the rolling regression code posted in this forum, for rolling GARCH (1,1) forecasts for next 20 steps, for example, for period 1, observations 1 to 500 are using in GARCH model estimation, and variance forecasted sample is 501 to ...
- Fri Jun 22, 2012 7:29 pm
- Forum: Program Repository
- Topic: Basic Rolling Regression
- Replies: 133
- Views: 194840
Hi, i am trying to do a GARCH (1,1) dynamic forecast, with a rolling window which overlaps. I have 1015 daily observations, and would like to use the past 500days data to forecast the variance for next 21 days. and this is then repeated by moving the window one day forward, such that the no. of days...