Garch Rolling Forecast
Posted: 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!
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!