I am working on my thesis which is evaluating forecasting performance in different time horizons. I am using rolling window and the tests that I am going to apply are MSE and QLIKE. So far I have run GARCH(1,1) and CGARCH and the results I have are
GARCH(1,1) : MSE --> 0.0001421308282457957
Is there anyone who has done similar research? Do you think that my results are decent or I might have a mistake in my coding?
Thanks a lot!
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