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- Tue Jun 23, 2015 7:06 pm
- Forum: Econometric Discussions
- Topic: GARCH forecasting, comparing models
- Replies: 0
- Views: 2105
GARCH forecasting, comparing models
I have two vodels GARCH(1,1) and TARCH and I need to choose between them basing on their forecasting perfomance. First of all i'm not getting completely the static forecasting. Since it uses the last-step fata to make a forecast, it appears that in GARCH model forecasted values of variance are equal...