Hi,
I use Eviews 7.1. and I have estimated various garch models. how can I estimate and forecast the Random walk volatility model with its output containg MAE, MAPE, RSME, Theil Inequality coefficient error statistics in order to compare my models?
Hope to hear from you soon :?
Thanks
Search found 2 matches
- Mon Sep 06, 2010 4:56 am
- Forum: Estimation
- Topic: Random Walk (MAE,MAPE..) ????
- Replies: 0
- Views: 1915
- Fri Aug 27, 2010 12:26 pm
- Forum: Estimation
- Topic: out-of-sample forecast using rolling sample
- Replies: 0
- Views: 3330
out-of-sample forecast using rolling sample
Hello, I have a problem using EViews 7 in estimating volatility using rolling sample. It's really important for me to figure this out since I cannot finish the empirical part of my dissertation. My data is 15 years daily log-returns from an index (1994-2009, 3879 observations). I used the first 10 y...