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Thanks for your answer, Trubador.

I am indeed using simpler models, but was recently asked to consider including MA(1) errors. I will incorporate your input.

Thanks again.

Cheers.

Hi, everyone. I think I have read all posts regarding stochastic volatility, but I am still unsure, so here I am. I want ot estimate an SV model with MA(1) errors to forecast inflation. Starting from the model: Rt=sigma_t*ut with Rt=dlog(CPI)- mu and mu=@mean(dlog(CPI)) log(Rt*Rt)=log(sigma-t^2)+log...