Rolling forecast GARCH

For questions regarding programming in the EViews programming language.

Moderators: EViews Moderator, EViews Gareth, EViews Jason

Rolling forecast GARCH

Postby Ina Miller on Mon Jun 29, 2009 7:08 am

Hi guys,

I am new to eviews and coding in general.

I am doing a project testing the volatility forecast abilities of various models, GARCH(1,1) included. Things have been going well but now I am stuck and have been for over a week.

I have been trying to develop the code for a rolling forecast of a GARCH(1,1) model without any success.

My sample size is 1250. I am using the first 1000 observations to estimate the GARCH coefficients, do the 1 day ahead forecast of the conditional variance, then drop the first observation and add the 1001st to re estimate the coefficients, do the next 1 day ahead forecast and so on….
Can anyone help me with this as it is really getting frustrating.
Thanks a lot.
Ina
Ina Miller
 
Posts: 2
Joined: Sun Jun 28, 2009 7:41 am

Re: Rolling forecast GARCH

Postby trubador on Mon Jun 29, 2009 7:19 am

trubador
Did you use forum search?
 
Posts: 1033
Joined: Thu Nov 20, 2008 12:04 pm

Re: Rolling forecast GARCH

Postby Ina Miller on Mon Jun 29, 2009 8:00 am

Thanks.
I have looked at that example before and customized it but unfortunately it didn’t seem to work or better: I didnt get it to work properly.
Regards,
Ina
Ina Miller
 
Posts: 2
Joined: Sun Jun 28, 2009 7:41 am

Re: Rolling forecast GARCH

Postby Vaal1 on Wed Jul 29, 2009 5:59 pm

I am attempting to do a GARCH in the same fasion, but stuck on the code. Can anyone assist please?
Code: Select all
!window = 200
!step = 1
!length = @obsrange
!nrolls = @round((!length-!window)/!step)
matrix(1,!nrolls) results 
!j=0
for !i = 1  to  !length-!window+1-!step step !step
   !j=!j+1
   smpl @first+!i-1 @first+!i+!window-2
   equation garch_n
   garch_n.ARCH(1,1) returns
   rowplace(results,garch_n@ARCH(1,1),!j)
next
show results
Vaal1
 
Posts: 8
Joined: Wed Jul 29, 2009 6:16 am


Return to Programming

Who is online

Users browsing this forum: No registered users and 2 guests