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- Sun Jun 20, 2010 1:21 pm
- Forum: Econometric Discussions
- Topic: rolling or dynamic forecast
- Replies: 0
- Views: 3034
rolling or dynamic forecast
I've estimted that my best model for forecasting is E-GARCH(1,1) with MA(1) in the mean equation. since lagged residuals are used in both models i'm not sure if i should do rolling or dynamic forecast. If i go with dynamic forecast all those lagged residuals in n-ahead forecast will just be 0 except...