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Here it is!

I found out that the coefficient matrix does give enough entries. With 372 obs and a window of 50 the coef matrix gives 322 entries.
So the only problems I have are with the fcast series.

I see that the spreadsheet for "fcast" presents its output from the 24th entry.

So what do I do wrong? Here is a screenshot where you can clearly see the spreadsheet from the 13th entry

Please delete the fcast series before running the program?

That should do it, I'm sorry for the inconvenience!

Hi,

i am trying to do a GARCH (1,1) dynamic forecast, with a rolling window which overlaps. I have 1015 daily observations, and would like to use the past 500days data to forecast the variance for next 21 days. and this is then repeated by moving the window one day forward, such that the no. of days used in forecasting, and forecasted data have same length.

I am using eviews 5, have tried to replicate this using Esther's code for 4 step ahead rolling regression. However, i am getting zeros as my results.

Attached is the code which i have done so far and workfile.

Can someone pls shed some light on how to correct this pls?

Thank you very much.

Dear all,

I am doing a recursive regression modelling and I do not know how to fix the starting date so it does forecasting recursively and not rolling. And I need to know how I can put the first 10 years as the forecasting period. I have data from 1980(1) to 2011(12) and I need it to use 1980(1) to 1989(12) to forecast 1990(1) and so on.

I appreciate any help.

Best

Hi Gareth,

I am new to eviews and forecasting thingy. My data ranges from 2001.01-2012.06 monthly data .
Since im using the usoil price at t to forecast exchange rate usdaud at t+1, equation I used is simple as usdaud c usoil, I have adjusted data accordingly, so it wud appear as usoil price at t to forecast exchange rate usdaud at t to avoid my confusion.
I want to use rolling window forecast use sample from 2001.01-2002.12 24 observations to forecast the 2003.01 and then include the 2003.01 in my sample as 2001.02-2003.01 to forecast 2003.02 until 2012.06.

Do I need to have the 2001.01-2012.06 monthly data x and y ready in the workfile to start with the forecasting?
What should I replace the " u 800" in your original code?

could you please help me check if the programme is correct?

I changed couple of things for my basic rolling forecast
Many thanks!!!!!!!!!!!!!!!!!!!

Do I need to have the 2001.01-2012.06 monthly data x and y ready in the workfile to start with the forecasting?
What should I replace the " u 800" in your original code?

The following three lines will create an undated workfile (named UNTITLED) and generate random series usdaud and usoil. Since you have your workfile (i.e. 01 FORECAST) with the monthly data, these lines can be ignored.

I want to use rolling window forecast use sample from 2001.01-2002.12 24 observations to forecast the 2003.01 and then include the 2003.01 in my sample as 2001.02-2003.01 to forecast 2003.02 until 2012.06.

Since you are trying to do 1-period ahead forecast, the following lines should be included in your code. *Please note that the previous discussion has the 4-period-ahead-forecast example.

In your example, each roll would be specified as
2001/01 - 2002/12
2001/02 - 2003/01
....
The window size is 24 because each roll has 24 observations, and therefore The step size should tell how many observations to step over between each iteration of the roll.
Since the difference between 2001/01 and 2001/02 is "1", the step size should be fixed to be 1.

Hi Esther,

Many thanks for your correction.

Please see below as I tidy up the whole code:
Please let me know if there is anything else I need to correct? felt i ask so low level questions

Code: Select all

'run rolling regression ' set window size !window = 24 ' set step size !step = 1 ' get size of workfile !length = @obsrange ' declare equation for estimation equation eq1 'calculate number of rolls !nrolls = @floor((!length-!window)/!step) 'matrix to store coefficient estimates matrix(2,!nrolls) coefmat ' where 2 is the number of coefficients 'series to store forecast estimates series fcast '*EDITED: catching start and end points %start = "@first" '@otod(@ifirst(ser)) %end = "@last" '@otod(@ilast(ser)) 'variable keeping track of how many rolls we've done !j=0 ' move sample !step obs at a time for !i = 1 to !length-!window+1-!step step !step !j=!j+1 ' set sample for estimation period %first = @otod(@dtoo(%start)+!i-1) %last = @otod(@dtoo(%start)+!i+!window-2) smpl {%first} {%last} ' estimate equation - where the equation is P =c(1) + c(2)*P1(-1) eq1.ls usdaud c usoil ' store coefficients colplace(coefmat,eq1.@coefs,!j) ' 1-period-ahead forecast %1pers = @otod(@dtoo(%start)+!i+!window-1) %1pere = @otod(@dtoo(%start)+!i+!window) if @dtoo(%end) < @dtoo(%4pere) then 'check whether the forecast end point is greater than the workfile end point exitloop endif ' set smpl for forecasting period smpl {%1pers} {%1pere} ' forecast with command *forecast* (see also *fit*) eq1.forecast(f=na) yf ' set sampl to obtain the 4th period observation smpl {%1pere} {%1pere} ' store forecasts fcast = yf next smpl @all show coefmat show fcast.line d(noerr) yf

' set sampl to obtain the 4th period observation
smpl {%1pere} {%1pere}

Before you said it cos mine is 1 period 1 period forecasting... i dnt understand why there is a 4th period ?
Please could you explain? thanks :D

Hi Esther,

I ran this programe but says error
Please see screen shot.

Please change the line to

Hi Esther,

Many thanks for the help with the code, it works!!!!

You know if you manually forecast 1 period, the fcast graph showed on eviews have information contains " RMSE" and

What should I change if I want to store the RMSE information?

Thanks!