Forecasting of Constant Conditional Correlation Model

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Forecasting of Constant Conditional Correlation Model

Postby bzg63636 » Thu Oct 25, 2012 5:09 am


I am running Eviews 6. I have some problems about forecasting after I finished the parametric estimation of Constant Conditional Correlation Model.
I refered User's Guide, and tried to do the following:

1.From system object of finishing estimation > Proc > Make Model
2.In Model object > Solve

By these two steps, I can obtain the forecasting of mean equations.
I also need the forecasting of volatility equations, but Model object didn't do that.

I think I need the forecast values of out-of-sample to solve my problem, how could I do that?

Attaching Constant Conditional Correlation Model
mean equations:
volatility equations:
hsf(t)=cor(rs, rf)*sqrt(hs*hf)

Any advice would be greatly appreciated!

EViews Gareth
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Joined: Tue Sep 16, 2008 5:38 pm

Re: Forecasting of Constant Conditional Correlation Model

Postby EViews Gareth » Thu Oct 25, 2012 7:45 am

There's nothing built in to do it, unfortunately.
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