Forecast Volatility in GARCH

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DanielH
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Joined: Sat Apr 16, 2011 12:54 pm

Forecast Volatility in GARCH

Postby DanielH » Sat Apr 16, 2011 3:34 pm

Hi,
I am new to using EViews 6 and currently completely lost in. I wanted to analyse the daily volatility of the German DAX index over the last 11 years. I planned to model volatility for 10 years and then use this data to make a one-year forecast. This forecast should then be compared with the actual values I have for this time period. This should be done using MSE and MAE. Nevertheless I am not able to understand how I get from my ten year analysis to the forecast model, and from that to the forecast returns. Do I need any other variables then my log excess returns from the DAX? And how could I get this forecast return from the DAX as market return in the single factor CAPM to model the return from my individual stocks?

I would be really glad if anyone could help. Thanks a lot.
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