Search found 2 matches
- Thu Apr 16, 2009 3:10 am
- Forum: Programming
- Topic: Rolling GARCH with forecasting
- Replies: 26
- Views: 92628
Rolling GARCH with forecasting
Hi guys :) I need to do a rolling estimation of a GARCH(1,1), outputting 1-day ahead forecast for the conditional variance. I have 2869 observations a need a rolling window of 783. Therefor the first estimated GARCH should be based on observation 1 through 783, outputting a forecasted conditional va...
- Tue Apr 07, 2009 2:07 am
- Forum: Programming
- Topic: Simulation study and Value at Risk
- Replies: 2
- Views: 9313
Simulation study and Value at Risk
Hi everybody, Im working on a project about Value at Risk and need to do a monte carlo simulation of an AR(1)-GARCH(1,1) model. I have estimated the AR(1) model with normal errors (I have the coeff etc) and need to simulate it over a 5 year period (daily observations - 252 pr year), outputting the s...