Rolling forecast GARCH
Posted: 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
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