Rolling Strategy and Expanding Strategy Forecasting

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Rolling Strategy and Expanding Strategy Forecasting

Postby Saakshi » Wed May 15, 2019 4:16 pm


I an trying to forecast a series using equation. Following the guide book, I am able to forecast the series but I am unable to understand the difference between in-sample and out-sample forecast. So far to my understanding in-sample forecast has estimation period equivalent to the forecast period and in out-sample we have the estimation period is slightly less. The confusion arises when I have to perform h-horizon ahead in-sample and out-sample forecast. I am not able to do can someone help me with this.

Also, is rolling strategy equivalent to out-sample forecast and expanding strategy in-sample forecast?


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