Search found 3 matches

by bebebe
Sun Jun 24, 2012 3:08 am
Forum: Programming
Topic: Forming a series
Replies: 20
Views: 7841

Re: Forming a series

solution found, using scalar. :D
by bebebe
Sun Jun 24, 2012 1:45 am
Forum: Programming
Topic: Forming a series
Replies: 20
Views: 7841

Re: Forming a series

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 ...
by bebebe
Fri Jun 22, 2012 7:29 pm
Forum: Program Repository
Topic: Basic Rolling Regression
Replies: 133
Views: 165224

Re: Basic Rolling Regression

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...

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