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- Wed Feb 15, 2017 7:52 pm
- Forum: Econometric Discussions
- Topic: GARCH (1,1) out of sample forecast the right way
- Replies: 0
- Views: 4975
GARCH (1,1) out of sample forecast the right way
Dear all, I’m conducting GARCH (1,1) analysis, and I reached the point where I must make an out of sample estimation. My data covers from 2000 to 2015, and I’m using multivariate GARCH analysis. I’m not I’m doing it right: 1- After conducting GARCH (1,1), I went to Proc. 2- Then using forecast. 3- U...