forecasting volatility in returns
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forecasting volatility in returns
HI MY QUESTION IS HOW CAN I FORECAST VOLATILITY OUT OF SAMPLE if i want to forecast 1 year ahead i am doing but i am receiving the message of missing data.Tell me the correct procedure i have estimated GARCH model using all my observations from 1/1/1998 TO 3/6/2009 AND I WANT TO FORECAST 1 YEAR ahead. please tell me where i am wrong
Re: forecasting volatility in returns
There are two things that you should be careful about:
1) Make sure that "Range" of your sample is long enough to include your forecast horizon (i.e. you should have room for observations through 3/6/2009 - 3/6/2010). If not, please extend it.
2) You should use the "Dynamic Forecast" method and specify a name for "GARCH(optional)" along with the range of your forecast sample.
1) Make sure that "Range" of your sample is long enough to include your forecast horizon (i.e. you should have room for observations through 3/6/2009 - 3/6/2010). If not, please extend it.
2) You should use the "Dynamic Forecast" method and specify a name for "GARCH(optional)" along with the range of your forecast sample.
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