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Hello there, I tried to test the forecast results with my model and extend the sample by one month and getting a different forecast value as compared to the one obtained from the code. I have attached my workfile already with the model and need help. I would appreciate it if someone can point out th...

Attached, my workfile for your reference. 'run extended sample ' set window size !window = 408 ' set step size !step = 1 ' get size of workfile !length = @obsrange ' declare equation for estimation equation garcheqn 'calculate number of rolls !nrolls = @floor((!length-!window)/!step) 'series to stor...

Hello Gareth, Please can you advise further on my post 7? I would really appreciate your help on this. I checked the code estimation step manually and can see it is adding one month and I also checked the forecasting step that shows the forecast for each month from 1994M01 -2012M03. so I am not sure...

ok got it - I added these in d(noerr) line and now see the series only in my output file. I am facing a problem when I try to match the forecasted results obtained from this code and forecasted results obtained from the model (see attached screen). it seems the code is not rolling ahead of one month...

Please see the image of my results

Thanks, Gareth for your prompt response and help. I edited the code as you mentioned and need a bit more help on this. I can see results for my forecast in the Garch Series but yf, yvar & yse - they all are NA except for the last value. I am not sure why? although I can see all values which I fo...

Hello there, I am trying to forecast the volatility as conditional standard deviation via the TGARCH model and want to use the extended window to obtain the in-sample forecast. I have data from Jan1960 till Mar2012, and I want to use a sample from Jan1960 - Dec1993 for estimating TGARCH model and be...

Thanks, heaps for the explanation it is a big help.


Regards, Sara

Thanks for the reply. I need the residuals for the eight dependent variables (stationary as well) via VAR and I can obtain them via Eviews selecting all together as dependent variables but the residuals are showing auto-correlation. although I selected the lag length as per SIC (via lag structure). ...

Hello there, I need some guidance regarding the VAR(1) model. I have six dependent variables and I need to use VAR(1) process to obtain the residuals for each of them and then use GARCH to forecast the conditional variance based on these residuals. My question is that what difference it makes if I s...