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- Wed Mar 03, 2010 8:56 am
- Forum: Econometric Discussions
- Topic: optimising garch model
- Replies: 0
- Views: 3052
optimising garch model
Hi guys, I am trying to run an egarch(p,q) model for a monthly return series, with some dependent variables in the variance equation. I am iterating this over the time horizon using a rolling window (say 150 times) and at the end of each window/iteration I save the 1-step ahead forecast of the model...