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- Wed Jul 19, 2017 9:19 am
- Forum: Programming
- Topic: CHECK GJR-GARCH ROLLING WINDOW CODING
- Replies: 0
- Views: 3392
CHECK GJR-GARCH ROLLING WINDOW CODING
Good evening all, I created the following code for forecasting volatility with the GJR-GARCH model: In total I have 4351 observations on the S&P500 and I use a rolling window of 1000 obs. 'GJR-GARCH scalar noobs=4351 scalar nw=1000 matrix (4351, 252) gjr_garchforecast vector(252) forecastresult ...