Dynamic Forecast

brennan6738 · Postby **brennan6738** » Thu Jan 20, 2011 9:12 pm

Can someone tell me if there is a setting I can change when I creaste a Dynamic forecast to capture the volatility of a series? I have uses an ARMA(1,1) to model the series attached (it is daily data) but the forecast just gives me this straight line. I see a Static forecast is more realistic, but I want to forecast multiple days forward.

EViews Gareth · Postby **EViews Gareth** » Thu Jan 20, 2011 9:29 pm

That is impossible. You'll have to model the volatility.

brennan6738 · Postby **brennan6738** » Thu Jan 20, 2011 9:59 pm

Can someone tell me where in the Eviews User Guide I can learn more about modeling volatility?

EViews Gareth · Postby **EViews Gareth** » Thu Jan 20, 2011 10:28 pm

You need to read an econometrics text book rather than the User Guide.

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