Good evening all,
I created the following code for forecasting volatility with the GJR-GARCH model:
In total I have 4351 observations on the S&P500 and I use a rolling window of 1000 obs.
matrix (4351, 252) gjr_garchforecast
for !i=nw to noobs
smpl @first+!i-nw @first+!i-1
garch_gjr.arch(1,1,t,) return_sp500 c
for !j=1 to 252
if !j=1 then
if !j>1 then
But I have my doubts about whether this is correct. I'm struggling with when to use 'forecastresult' and 'garchconvar'.
So if someone has improvements please let me know.
Thanks in advance!
For questions regarding programming in the EViews programming language.
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