Search found 1 match
- Wed Jan 14, 2009 2:35 am
- Forum: Estimation
- Topic: Out-of-sample forecast of multivariate GARCH Models
- Replies: 5
- Views: 10445
Out-of-sample forecast of multivariate GARCH Models
Hi, I'm writing a thesis about the Performence of Minimum Variance Hedge Ratios wich are determined by multivariate GARCH models. Therefore I would like to do conduct a 1-day/1-week ahead out-of-sample forecast of the conditional variance/covariance produces by the GARCH Model. I manage to generate ...