Good afternoon!
I am trying to forecast variance but I am unsure about something regarding the results. So, I have stock returns and I want to forecast their variance out-of-sample using GARCH, EGARCH and GJR-GARCH. I specify the mean equation, select ARCH under method estimate the model then Proc -> Forecast and specify the out-of-sample period using static forecasting. Here I have two questions:
1. what do I have to put under GARCH(optional) and what is the difference between this series and the name of the forecast from above.
2. when I get the results I get the MAE, MAPE and RMSE... are this for the volatility forecasting or for the variance forecasting?
Thank you in advance!
Alecs
Forecasting Variance
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Re: Forecasting Variance
1. Enter the name of the series you wish to contain the forecast of the variance in the GARCH(optional) box. The Forecast box will contain the forecast of the mean.
2. MAE etc.. are all for the mean.
2. MAE etc.. are all for the mean.
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