I am trying to do a forecast evaluation where the forecast is stored as a series and the observed values are also a series.
I follow the instructions listed here: http://www.eviews.com/help/helpintro.html#page/content/series-Forecast_Evaluation.html, yet I always obtain unusual results.
I am not sure what I am doing wrong. My observed series is titled RETURNSRQ, and the forecast series is titled VOLFORECASTGARCH. The sample range is 2015 to 2018 and i set the training sample to the same( I am not exactly sure about what to set the training sample too.). I filled out this dialog box like this:
This is the result I obtain:
I expected the graph to look like this:
The statistics that come with the evaluation are also nonsensical.
I am not sure what I am doing wrong. Any help would be greatly appreciated. For some reason I can't attach my workfile.
Forecast Evaluation Help
Moderators: EViews Gareth, EViews Moderator
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- Fe ddaethom, fe welon, fe amcangyfrifon
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Re: Forecast Evaluation Help
Forecast evaluation is for evaluation multiple forecasts of the same series. It looks like you are only evaluating a single series. Thus most of the statistics, and the averaging methods are nonsensical.
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Re: Forecast Evaluation Help
EViews Gareth wrote:Forecast evaluation is for evaluation multiple forecasts of the same series. It looks like you are only evaluating a single series. Thus most of the statistics, and the averaging methods are nonsensical.
So how do I obtain forecast evaluation statistics like root mean square error? How can I compare between forecast values and real observations?
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- Fe ddaethom, fe welon, fe amcangyfrifon
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Re: Forecast Evaluation Help
You can use the forecast evaluation view for that, but don't include an averaging method.
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Re: Forecast Evaluation Help
EViews Gareth wrote:You can use the forecast evaluation view for that, but don't include an averaging method.
I followed your instructions and obtained this:
I don't understand why its not plotting the full evaluation sample.
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Re: Forecast Evaluation Help
EViews Gareth wrote:Hard to say without having the data.
Sorry, I thought I had attached it. I have attached it now. Cheers.
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- djia.wf1
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Re: Forecast Evaluation Help
Works as expected for me. Ensure your copy of EViews is up to date.
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Re: Forecast Evaluation Help
EViews Gareth wrote:2018-07-13_090917.png
I just want to say thanks for all your help. Updating the software did the trick. Sorry for taking up your time.
Cheers.
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