Forecasting returns and prices

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niki999
Posts: 1
Joined: Fri Apr 10, 2009 5:19 am

Forecasting returns and prices

Postby niki999 » Fri Apr 10, 2009 5:33 am

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. Calculations for EWMA volatilities I done in EXCEL.
Can anyone help me?
Thanks.

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