I am trying to forecast the GARCH series from a GARCH equation.
The object reference writes the following about this:
eq_name.fit(options) yhat [y_se]
eq_name.fit(options) yhat [y_se y_var]
Following the fit keyword, you should type a name for the forecast series and, optionally, a
name for the series containing the standard errors. For ARCH specifications, you may use the second form of the command, and optionally include a name for the conditional variance
Am I correct in concluding that if I write for instance
Code: Select all
test.fit yhat a b
Lastly, I noticed that some times I get negative values out of the last argument (what I assumed to be the forecasted GARCH variance) so maybe I am wrong about its meaning.
Thanks in advance.