## Rolling forecast GARCH

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Ina Miller
Posts: 2
Joined: Sun Jun 28, 2009 7:41 am

### Rolling forecast GARCH

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

Did you use forum search?
Posts: 1518
Joined: Thu Nov 20, 2008 12:04 pm

### Re: Rolling forecast GARCH

Ina Miller
Posts: 2
Joined: Sun Jun 28, 2009 7:41 am

### Re: Rolling forecast GARCH

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

Vaal1
Posts: 8
Joined: Wed Jul 29, 2009 6:16 am

### Re: Rolling forecast GARCH

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=0for !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)nextshow results`