garch model, variance forecast, static or dynamic?

For econometric discussions not necessarily related to EViews.

Moderators: EViews Gareth, EViews Moderator

maxchen
Posts: 191
Joined: Fri Oct 10, 2008 4:03 pm

garch model, variance forecast, static or dynamic?

Postby maxchen » Tue Jun 30, 2009 8:00 pm

In EViews, there are choices of static and dynamic, what is the difference?
cause the conditional variance is not observable, what is static forecast then?

maxchen
Posts: 191
Joined: Fri Oct 10, 2008 4:03 pm

Re: garch model, variance forecast, static or dynamic?

Postby maxchen » Thu Jul 09, 2009 5:37 pm

I figure it out

for dynamic
h(t+n|t) = E[h(t+n)|I(t)] n=1,2,3,.....
where I(t) is information set

for static, rolling one step, say
h(t+1|t) = E[h(t+1)|I(t)] t= T+1, T+2, .....


Return to “Econometric Discussions”

Who is online

Users browsing this forum: No registered users and 2 guests