EViews.com

Hi everyone, I have a question regarding the forecasting in eviews. I have estimated a Garch (1,1) model based on 1200 observations, and forecasted the next 260 days (proc-forecast). I was just wondering about the methodology eviews is using. Is it doing a day per day forecast based on the initial m...

Just enter the name you want the forecast of the GARCH series to have

Thanks Garth - Works now. When Eviews is forecasting like this, is it using a 1-day rolling forecast based on the same initial parameters?

Thank you!

Yes, you need to enter something in the GARCH (optional) bit. You said I must enter something for the Garch space, would this be the returns (residuals) of the data? I have tried entering the returns data there, but still get NA for the out of sample observations... Why is this? Am I using the &quo...

To get the forecasted values you have to use Proc->Forecast. Hi Gareth, thanks for helping me out. This is what I have done though - after estimating the garch(1,1) model I go on proc - forecast and select all observations such that I get estimated alues for the ones I did not estimate the model on...

Hi everyone, I would be very grateful for any help on this matter. My dataset is 2514 observations on the s&p500 and basically I want to estimate an out of sample conditional variance for a Garch (1,1) model. I have estimated the model based on the first 1999 observations and want the conditiona...