Forecasting of Stock Index Returns

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Forecasting of Stock Index Returns

Postby econometricsbob » Thu Apr 05, 2018 4:05 am

Dear All,

I urgently need your help. I hope this is the right part of the forum. If it is not please let me know.
A couple months ago I worked with Eviews already but have not gotten down to it because I thought that I would never have to use it again. Now I have to and am mostly clueless.

It would be of great help and really appreciated if someone of you could point out the necessary steps (the more detailed the better) I have to perform in order to solve this task.

I have to predict a stock index returns by using dividend/yield or dividend/price
I want to do in-sample and out-of-sample forecasting. I will have to use datastream to get the data.

So my questions are basically which steps do I have to run to get the (2) forecasts at the end and which data-set (timescale) would you recommend? I know that these questions are probably the easiest someone could ask but that's how it is.

I am thankful for every single reply.


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