I want to forecast variance and I do not understand how to obtain the RMSE, MAE, MAPE for the variance.
1. Use Log Returns
2. Fit ARIMA using AIC
3. Add GARCH(1,1) and estimate coefficients in sample.
4. Proc -> Forecast, select my out-of-sample period and static forecasting
5. I get the forecast for the mean equation and the table with the loss functions, but that is for the mean equation, right?
How do I get it just for the GARCH?
I have also tried:
1. Fit ARMA -> save residuals
2. alt+q+e mean equation "residuals c" Method: ARCH and select a GARCH(1,1)
3. same thing with the sample sizes
4. and again I get the error measurements for the mean (which is a flat line now)
Also, do I need include "residuals c" in the mean equation or should I just put "residuals"?
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.
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