## Rolling forecasts for GARCH model

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### Rolling forecasts for GARCH model

Hello guys. I am newbie in Eviews. I am stuck with an analysis. I searched all the forum and found some related topics about my problem. However, I could not manage to solve my problem.

My problem:

I have 964 return observations of a stock. By a windows size=200, I want to make rolling one a head forecasts for conditional variance using GARCH(1,1) model. And I also want to estimate the model coefficients at every 25 step.

For example,
- using observations from 1 to 200, first estimate the model coefficients, then using the estimated model, I want to forecast 201'th conditional variance,
- using observations from 1 to 200, first estimate the model coefficients, then using the estimated model, I want to forecast 202'th conditional variance,
......
- using observations from 26 to 225, first estimate the model coefficients, then using the estimated model, I want to forecast 226'th conditional variance,
......
-and so on.

I wrote such a code combining pieces from other topics. However, since I couldn't still gain the insight of the Eviews programming, I could not manage to solve the problem. My not working half code is as below:

Code: Select all

`' set window size!window = 200 ' set step size!step = 25 ' get size of workfile!length = 964'calculate number of rolls!nrolls = @round((!length-!window)/!step)' declare equation for estimationequation eq1'matrix to store coefficient estimatesmatrix(3,!nrolls)  coefmat ' where 3 is the number of coefficientsmatrix(1,964) results'variable keeping track of how many rolls we've done!j=0' move sample !step obs at a timefor !i = 1  to  !length-!window+1-!step step !step   !j=!j+1   ' set sample to estimation period   smpl !i !i+!window-1   ' estimate equation   equation eq1.ARCH(1,1) returnxeq1.forecast varrowplace(results, garch_n@ARCH(1,1), !j)'store coefficients   colplace(coefmat,eq1.@coefs,!j)next`

I loaded the workfile as a attachment.

I will be very glad for any help. Thanks a lot.
Attachments
returnx.wf1

EViews Gareth
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Posts: 11875
Joined: Tue Sep 16, 2008 5:38 pm

### Re: Rolling forecasts for GARCH model

You don't say what the issue is, but looking at the code, one thing jumps out.

When using the equation.forecast procedure, you have to provide a name for the forecast of the mean equation, the standard error, and then the conditional variance.
http://www.eviews.com/help/helpintro.ht ... 23ww176268

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