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I want to forecast variance and I do not understand how to obtain the RMSE, MAE, MAPE for the variance. Step-by-step approach: 1. Use Log Returns 2. Fit ARIMA using AIC 3. Add GARCH(1,1) and estimate coefficients in sample. 4. Proc -> Forecast, select my out-of-sample period and static forecasting 5...

Good afternoon! I am trying to forecast variance but I am unsure about something regarding the results. So, I have stock returns and I want to forecast their variance out-of-sample using GARCH, EGARCH and GJR-GARCH. I specify the mean equation, select ARCH under method estimate the model then Proc -...