how to forecast GARCH updating the estimated values in each time

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agnamemon
Posts: 5
Joined: Tue Aug 07, 2018 10:19 am

how to forecast GARCH updating the estimated values in each time

Postby agnamemon » Tue Aug 07, 2018 10:52 am

good morning, I need some help.
I am trying to get Eviews to do the following:
I have estimated my regression using GARCH with data from 2006 until 2017.
to prove the existence of the day of the week effect I am forecasting the returns from 2017 January until 2017 December to compare the average errors of the forecast with the actuals.
to make this exercise fair, I need to update the estimation of the coefficients every new day that is forecast
I mean:
to forecast January 1 2017 I used the estimates up until 31 December 2016
to forecast January 2 2017 I used the estimates up until 1 January 2017
and so on.

at the beginning I thought I could use the static forecast tool, but then I realise that I the coefficients would be using the data until December 2017 to be calculated, and that is not efficient or accurate.

to do this I need to change the parameters of the estimation to include the next day each time,
my specific question is:
is t there a way I can do this programing Eviews to do it automatically and not having to do it one by one.
bare in mind that I have to do it 252 times minimum to complete a hole year of comparison.

thank you

EViews Gareth
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Re: how to forecast GARCH updating the estimated values in each time

Postby EViews Gareth » Tue Aug 07, 2018 11:46 am

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agnamemon
Posts: 5
Joined: Tue Aug 07, 2018 10:19 am

Re: how to forecast GARCH updating the estimated values in each time

Postby agnamemon » Tue Aug 07, 2018 12:08 pm

thank you Gareth for the link, I have read it and still quit confuse

I have my regression as follows

rsp500 c rsp500(-1) rsp500(-2) rsp500(-3) rsp500(-4) .........(lagged regression of daily returns)

my sample size is from 1/01/2006 to 12/31/2017

I want to forecast al the returns for the hole 2017 year, with a daily roll over to correct the coefficients each day
what I mean is that when I forecast 1/01/2017 my estimates coefficients are calculated only using the actual data up until 12/31/2016, for the next day forecast 1/02/2017, my estimates coefficients are calculated using the actual date up until 1/01/2017 and so on.

can you please help me how to do the programing?
I need this for my dissertation, and I am not really good at programming.

thank you.

agnamemon
Posts: 5
Joined: Tue Aug 07, 2018 10:19 am

Re: how to forecast GARCH updating the estimated values in each time

Postby agnamemon » Wed Aug 08, 2018 6:20 am

this is what I am doing manually,
as you see in the file I have to change the sample in the equation estimation each time to include one more day ( the day after the one I am forecasting)
and manually change the forecast sample as well to get the new forecast

can Eviews do this automatically?
please tell me how
Attachments
forecast.docx
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