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Hi, I am doing forecasting GARCH(1.1) by using a program. My program seems to work fine for 1-step ahead forecasting, but not when I want to do further steps ahead (my forecasting results do not change). I assumed there had to be something wrong with my program, so I decided to do it manually in exc...

Do I maybe have an error in the last line of my "period spesification?" 21-period-ahead forecast %21pers=@otod(@dtoo(%start)+!i+!window-1) %21pere=@otod(@dtoo(%start)+!i+!window+20) or should I change how many steps the forecast should move at a time? 'move sample !step obs at a time for !...

I have changed it but still get the same forecast values as I do when I forecast for 1 step ahead.
I really do not see what I am doing wrong, to me my program looks correct...

aah thanks, that helped! :D However I have run into another problem. When changing my step-ahead forecast from 1 day to 21 days as shown above, I get the same forecast values. Do I need to change anything else than "period-ahead" and "sample for forecasting period" in my program ...

Oh.. So how do I change it to include all the observations? Furthermore, when I change my program from 1 day to 21 days: '1-period-ahead forecast %1pers=@otod(@dtoo(%start)+!i+!window-1) %1pere=@otod(@dtoo(%start)+!i+!window+0) 'set smpl for forecasting period smpl {%1pers} {%1pere} '21-period-ahead...

That is correct. So how do I do that? Which part of my program is incorrect?

What do you mean? When doing it from the drop down menu I do get two different values. Am I not doing the same thing with the program? Also, when changing my sample to 21 when I am using the programme, my forecasted values come out exactly the same as when I set the sample to 1 day. Obviously I must...

Hi, I have now been able to get the same forecast results by trying the two different methods (commands and dropdown menu), which I am really happy about! :) However I still get incorrect answers for RMSE and MAE. I have not been able to update eviews yet, as I am not allowed to do it myself as only...

standard edition - Jun 19 2013 build

ah yes, there is a next statement at the bottom of my program, like this:

'calculate RMSE
scalar rmse=@rmse(returns, fcast)

'calculate MAE
Scalar mae=@mae(returns, fcast)

next

However, the results are still not consistent. Am I missing next statements in other places?

When using the dropdown menu I estimate the simple GARCH(1.1) model by including "returns c returns(-1)" in the mean equation and nothing in the variance equation. I estimate my in-sample for 2/1/1995 12/30/2009, which equals 4070 observations. Then I press forecast - static - forecast sam...

That is correct. Can this be caused by me using the rolling window?
I have attached a screen shot of my forecasts using the two approaches. ReturnsF is the one when I used the drop down menu, while Fcast is the one where I used the program.

Hi Gareth, I am sorry to bother you, but I am really struggling to figure out what I am doing wrong. For some reason my RMSE and MAE come out identical and both inconsistent with the results I get when using the drop down menu. When I try the example you posted I seem to get it right, but when tryin...

The same results by trying to use both methods (using my code)?
When doing it from the drop down menu I get RMSE=0.993259, MAE=0.797992
When I use the code RMSE=MAE=0.895579

Is there something wrng with my code? :?

I am sorry for being so slow, but I still don't get it right... :oops: I still do not get the same results by trying the two methods and my RMSE and MAE end up being the exact same number when I am trying to use the commands. create u 4966 (this number is the total number of observations) series ret...