How to save forecasted values of variance?
Posted: Thu Aug 04, 2022 7:38 am
Hi there,
So I am forecasting volatility for my dissertation, and using multiple time-series models (ARCH, GARCH, EGARCH etc). Once I estimate my equation, then use the forecast tool, How do i save the series of forecasted variance values? I note that it automatically saves the forecasted mean equation values, but am unsure of how to save variance itself. In the 'series name' boxes, it auto populates forecast name, then it gives the option to name SE and GARCH, but would these be my variance forecast values? any help is much appreciated.
So I am forecasting volatility for my dissertation, and using multiple time-series models (ARCH, GARCH, EGARCH etc). Once I estimate my equation, then use the forecast tool, How do i save the series of forecasted variance values? I note that it automatically saves the forecasted mean equation values, but am unsure of how to save variance itself. In the 'series name' boxes, it auto populates forecast name, then it gives the option to name SE and GARCH, but would these be my variance forecast values? any help is much appreciated.