I am trying to evaluate the forecasting accuracy of 5 GARCH models(GARCH,EGARCH,GJR,APARCH,CGARCH) in 5 different indexes.I am trying to use the DM test in EViews 8, however the add in requires to input 2 equations, whereas i want to use the forecasting errors which are series. Can anyone please provide any hint on how to run the DM test? Thanks in advance for any response.
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.
2 posts • Page 1 of 1
Who is online
Users browsing this forum: Google [Bot] and 2 guests