Constant matrix coefficients

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Nicole
Posts: 22
Joined: Thu Jul 17, 2014 12:34 pm

Constant matrix coefficients

Postby Nicole » Sun Aug 10, 2014 1:02 pm

Hi,
I am doing forecasting GARCH(1.1) by using a program. My program seems to work fine for 1-step ahead forecasting, but not when I want to do further steps ahead (my forecasting results do not change).
I assumed there had to be something wrong with my program, so I decided to do it manually in excel. However, when I opened my coefficient matrix i noticed that the coefficients remain constant. I played around a bit and added the following command into the program:

'estimate equation
eq01.arch returns c returns(-1)

When doing this the coefficients in the matrix changed, but so did the forecasted values. The program did no longer produce the same predictions by using the program as it does by using the drop down menu.

Why is this and what am I missing?

I have attached a screenshot of the outputs.The three top ones represent the output from when the new command was not added, and the furthest to the left is the one created by drop down menu.
The three bottom ones are the outputs from when the command was included, and the two left ones are outputs from using the program.
Really appreciate all feedback I can get! :)
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EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 13585
Joined: Tue Sep 16, 2008 5:38 pm

Re: Constant matrix coefficients

Postby EViews Gareth » Mon Aug 11, 2014 8:01 am

There isn't enough information in this post to diagnose what you're doing wrong. However, as general advice, you need to pay careful attention to what the workfile sample is every time you do something. When running a program pretty much everything you do will only apply to the current workfile sample.


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