EViews.com

I think you are asking for the initialization. EViews refers to this problem as backcasting of the presample variance. Common practice is to set the unconditional variance as the initial value. However, by default, EViews compute the residuals of the mean equation via using the coefficient values, ...

I understand. But I had a hard time figuring out how E-Views managed to get the forecast for the first observation. For example, I have data with 2000 observations. I used the first 1000 observation to construct a AR(1)-GARCH(1,1) model. Then, I made a forecast for the entire data set. Eviews gener...

GARCH estimation and forecasting are not specific to any software. You can find all the details you need in any econometrics/time series textbooks... I understand. But I had a hard time figuring out how E-Views managed to get the forecast for the first observation. For example, I have data with 200...

Anyone could help, please?

Good day, I'm using E-views 7 I would like to know the algorithm used by E-Views to forecast GARCH variance (static forecast). I tried to reproduce the same results in Microsoft Excel but failed. I couldn't figure out the algorithm E-Views used for the forecast. Also, I would like to know the algori...