Forecasting mean equation of a Multivariate VAR-GARCH: Using code

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.

Moderators: EViews Gareth, EViews Moderator

pvestia
Posts: 14
Joined: Wed Apr 18, 2018 4:35 am

Forecasting mean equation of a Multivariate VAR-GARCH: Using code

Postby pvestia » Wed Aug 15, 2018 7:21 am

Hi,

I create a simple code to perform a multi-step forecast of VAR(1)-BEKK-GARCH(1,1)
But every time I run the code, the estimated series change every time. Can you guys give a look at the code and tell me with something is wrong or If what I'm doing is right?
Thank you in advance.

Best regards.

Code: Select all

' define the range for the 12 month forecast
range @first @last+12


'THE LOOP STARTS

' define loop for a 12 month forecast
for !i=1 to 12

' make the VAR
smpl @first @first+162+!i
var var1.ls 1 1 beta_1 beta_2 beta_3

' make system for the VAR-GARCH
var1.makesystem(n=sys1)

' estimate the VAR-GARCH BEKK
sys1.arch @diagbekk C(indef) arch(1,diag) garch(1,diag)

' make the model for forecasts
sys1.makemodel(mod1)
smpl @first+163+!i  @first+163+!i
' perform the forecasts
mod1.solve(d=d)
smpl @all
series beta_1  = beta_1_0
series beta_2  = beta_2_0
series beta_3  = beta_3_0

'delete the auxiliar betas
delete beta_1_0
delete beta_2_0
delete beta_3_0

next
Last edited by pvestia on Sat Aug 18, 2018 10:06 am, edited 1 time in total.

pvestia
Posts: 14
Joined: Wed Apr 18, 2018 4:35 am

Re: Forecasting Multivariative GARCH - Using Code

Postby pvestia » Sat Aug 18, 2018 9:47 am

Please someone can help me? It would be extremely appreciated

pvestia
Posts: 14
Joined: Wed Apr 18, 2018 4:35 am

Re: Forecasting mean equation of a Multivariate VAR-GARCH: Using code

Postby pvestia » Mon Aug 20, 2018 8:26 am

Please no one?! I just want to know with this procedure I'm doing is a good way to just simulate the errors using the BEKK-GARCH(1,1) model in isolation, then feed those in to solving the mean model, which is a VAR(1).
Please, your feedback is extremely appreciated.


Return to “Estimation”

Who is online

Users browsing this forum: No registered users and 12 guests