GARCH(1,1) Forecast Series

For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.

Moderators: EViews Gareth, EViews Moderator

Hanabi
Posts: 2
Joined: Thu Apr 12, 2018 2:05 pm

Re: GARCH(1,1) Forecast Series

Postby Hanabi » Thu Apr 12, 2018 2:48 pm

Hello everyone! I am currently trying to make an out of sample forecast using 10 years of daily data. I have divided my entire sample in two sub-samples the first ranging from the 27th of march 2008 and ending on the 29th of December 2017 and the second one from the 29th of december 2017 to the 27th of March 2018. The latter sample is the one that I am trying to forecast to then compare to the actual forecasted values. I have fitted and AR(1) EGARCH (1,1,1) model in my first sample. However, when I hit the forecast button and I click on my forecasted period for the mean, I get the same value for the entire forecasted period. That doesn't seem right to me. Moreover, when I try to manually calculate the way those numbers have been produced in eviews I get a completely different result. Any ideas regarding what I might be doing wrong?

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 11848
Joined: Tue Sep 16, 2008 5:38 pm

Re: GARCH(1,1) Forecast Series

Postby EViews Gareth » Thu Apr 12, 2018 3:26 pm

If you don't have anything in the mean equation other than a constant, and you're doing a dynamic forecast, the forecast of the mean will be (wait for it....) a constant!
Follow us on Twitter @IHSEViews

Hanabi
Posts: 2
Joined: Thu Apr 12, 2018 2:05 pm

Re: GARCH(1,1) Forecast Series

Postby Hanabi » Fri Apr 13, 2018 6:12 am

Thanks Gareth! :D I appreciate the reassurance! However, I still have an issue with the discrepancy between the values that I have calculated manually and the ones that eviews provide. I am pretty sure that the specification I am using to calculate the values manually is correct, any ideas on why that might be the case?

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 11848
Joined: Tue Sep 16, 2008 5:38 pm

Re: GARCH(1,1) Forecast Series

Postby EViews Gareth » Fri Apr 13, 2018 7:22 am

The long term forecast is just the constant from the equation output, so calculating it is really easy.
Follow us on Twitter @IHSEViews

startz
Non-normality and collinearity are NOT problems!
Posts: 3376
Joined: Wed Sep 17, 2008 2:25 pm

Re: GARCH(1,1) Forecast Series

Postby startz » Fri Apr 13, 2018 8:15 am

The initial post says there is an AR(1) component. Maybe the OP could clear up exactly what the model is and how the forecast was done in EViews.


Return to “Estimation”

Who is online

Users browsing this forum: No registered users and 9 guests