GARCH

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brennan6738
Posts: 31
Joined: Tue Sep 08, 2009 1:28 pm

GARCH

Postby brennan6738 » Thu Jan 13, 2011 11:45 am

Does anyone know how to pull the volatility forecast from a GARCH into a table? Also, if I want to get what the average volatility is assumed to be by the model do I just use the last data point of the GARCH forecast or do i use teh average using all data points over the forecast period?
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Lyubov
Posts: 19
Joined: Mon Mar 28, 2011 4:06 am

Re: GARCH

Postby Lyubov » Sun Apr 03, 2011 8:44 am

Does anyone know how to pull the volatility forecast from a GARCH into a table?
Hello!
If you want to save forecast's values of garch, you need to enter some name into the textbox "GARCH(optional)" in dialog window Forecast. EViews will create new series in your workfile after it.
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Lyubov
Posts: 19
Joined: Mon Mar 28, 2011 4:06 am

Re: GARCH

Postby Lyubov » Sun Apr 03, 2011 8:45 am

Also you can obtain the conditional variance estimates via Proc/Make GARCH Variance Series.
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