Forcasting standard devation in GARCH

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BYG
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Joined: Wed Jun 16, 2010 2:15 am

Forcasting standard devation in GARCH

Postby BYG » Wed Jun 16, 2010 3:15 am

Hi,

I have run a GARCH (1,1) model with a Student's T distribution on logged returns of the FTSE 100 index over 6/10/2005 - 6/8/2010. I want to obtain the forecast standard devation for the next day how do I do this?

Thanks
Gerry

EViews Gareth
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Re: Forcasting standard devation in GARCH

Postby EViews Gareth » Wed Jun 16, 2010 8:16 am

Hit the Forecast button, and fill in a name in the "GARCH(optional)" box. The forecasted values will then be put into a series of that name in your workfile.

To forecast over a particular period, just change the "Forecast sample" box.


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