Forecasting rescaled

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Forecasting rescaled

Postby friditai » Sun Jun 18, 2017 11:09 am

I've been trying to forecast (static) the colcap (colombian stock exchange index). I modelled the volatility to be an egarch(1,1) for an ar(1)

The program runs, however the result is around 10 times smaller than it should. It should give me a value in a range of -0.25 up to 0.25, however my forecast oscillates around -0.025 and 0.025.

When i multiply the forecasted series times 8 and take it back one period it fits perfectly, however i cannot find and explanation for this.

Code: Select all  f2 colcap_err2
series f20=f2*8 'this is the forecast that fits the real one
series sup2 =  f2 + 1.96*colcap_err2
series inf2 =  f2 - 1.96*colcap_err2
smpl 10/10/2009 @last
plot f2 d_colcap sup2 inf2
plot f20 d_colcap(-1)

does anyone know why it might be giving me a series 10 times smaller? (if i add standard deviations (sup and inf) in each direction these fit the series perfectly)
why is my forecast one period behind?
when i put forecast(e) the estimation box doesn't appear even though the help section says this is the correct option specification

thanks! :oops:

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