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?
garch model, variance forecast, static or dynamic?
Moderators: EViews Gareth, EViews Moderator
Re: garch model, variance forecast, static or dynamic?
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, .....
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
