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- Tue Mar 30, 2010 1:03 pm
- Forum: Programming
- Topic: Multivariate GARCH in-sample and out-sample forecast
- Replies: 0
- Views: 1985
Multivariate GARCH in-sample and out-sample forecast
Hi, I am developing a time-varying hedge ratios (CAPM) model using Multivariate GARCH, with both the VECH and BEKK specifications for my thesis. I have the time-varying betas, however, I am unable to forecast them. I need a program or a manual method for the in-sample and out-of-sample forecast of t...