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

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.


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