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

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

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

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?

Best regards.

Code: Select all

`' define the range for the 12 month forecastrange @first @last+12'THE LOOP STARTS' define loop for a 12 month forecastfor !i=1 to 12' make the VARsmpl @first @first+162+!i var var1.ls 1 1 beta_1 beta_2 beta_3' make system for the VAR-GARCHvar1.makesystem(n=sys1)' estimate the VAR-GARCH BEKKsys1.arch @diagbekk C(indef) arch(1,diag) garch(1,diag)' make the model for forecastssys1.makemodel(mod1)smpl @first+163+!i  @first+163+!i' perform the forecastsmod1.solve(d=d) smpl @all series beta_1  = beta_1_0series beta_2  = beta_2_0series beta_3  = beta_3_0'delete the auxiliar betasdelete beta_1_0delete beta_2_0delete beta_3_0next`
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

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

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).