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.
- 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 estimation
'matrix to store coefficient estimates
matrix(3,!nrolls) coefmat ' where 3 is the number of coefficients
'variable keeping track of how many rolls we've done
' move sample !step obs at a time
for !i = 1 to !length-!window+1-!step step !step
' set sample to estimation period
smpl !i !i+!window-1
' estimate equation
equation eq1.ARCH(1,1) returnx
rowplace(results, garch_n@ARCH(1,1), !j)
I loaded the workfile as a attachment.
I will be very glad for any help. Thanks a lot.