Hi,
I have run a GARCH (1,1) model with a Student's T distribution on logged returns of the FTSE 100 index over 6/10/2005 - 6/8/2010. I want to obtain the forecast standard devation for the next day how do I do this?
Thanks
Gerry
Search found 1 match
- Wed Jun 16, 2010 3:15 am
- Forum: Estimation
- Topic: Forcasting standard devation in GARCH
- Replies: 1
- Views: 2033