Garch Rolling Forecast

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foivos90
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Joined: Mon Jun 12, 2017 3:11 am

Garch Rolling Forecast

Postby foivos90 » Sun Sep 24, 2017 2:07 am

Hello everyone,

I am working on my thesis which is evaluating forecasting performance in different time horizons. I am using rolling window and the tests that I am going to apply are MSE and QLIKE. So far I have run GARCH(1,1) and CGARCH and the results I have are

GARCH(1,1) : MSE --> 0.0001421308282457957
QLIKE--> -4.675873496544163

CGARCH: MSE--->0.0001364086586723915
QLIKE--->-4.696735659865483

Is there anyone who has done similar research? Do you think that my results are decent or I might have a mistake in my coding?
Thanks a lot!

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