Forecasting Variance
Posted: Thu Jul 27, 2017 5:18 am
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
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