Search found 2 matches
- Wed Aug 04, 2010 7:43 am
- Forum: Programming
- Topic: Recursive forecast of Multivariate-GARCH-in-Mean model
- Replies: 3
- Views: 4822
Re: Recursive forecast of Multivariate-GARCH-in-Mean model
I have made my own code. It's for MGARCH since MGARCH-in-Mean is not necessary for me. But my code cannot recursively forecast the stock and bond returns, and the forecasted variances and covariances are the same as the actual ones. Can you make some corrections on my code? Thanks.
- Tue Aug 03, 2010 1:06 pm
- Forum: Programming
- Topic: Recursive forecast of Multivariate-GARCH-in-Mean model
- Replies: 3
- Views: 4822
Recursive forecast of Multivariate-GARCH-in-Mean model
Hi, Can any one help on the programming of Multivariate-GARCH-in-Mean model. I'm using Eviews 6. At first my estimation sample is 1980m1 to 2000m1, forecast sample is 2000m2 to 2010m1. I need estimate a MGARCH-in-Mean model based on data 1980m1 to 2000m1, to forecast the stock return and bond return...