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- Mon Jun 06, 2011 9:11 am
- Forum: Programming
- Topic: EGACH: rolling window forecasts
- Replies: 0
- Views: 2480
EGACH: rolling window forecasts
Hi all, I am trying to obtain conditional variances from an EGARCH(1,1) model (using EViews 7). So far, I have pieced together the programming below (I am still a bit of an amateur programmer). I want out-of-sample forecasts using 2000 daily observations (S&P500 returns) to provide conditional v...