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- Fri Apr 10, 2009 5:33 am
- Forum: Estimation
- Topic: Forecasting returns and prices
- Replies: 0
- Views: 2944
Forecasting returns and prices
Dear all, I have the following model (EWMA) rt=m+at at=sigma(t)*error(t) sigma(t)^2=lambda*sigma(t-a)^2+(1-lambda)*r(t-1)^2 (EWMA) I forecasted new sigmas using EWMA for 10 days but I am a bit puzzled how to forecast rt and prices when i know EWMA calculated volatilities and how to do that in Eviews...