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garch model, variance forecast, static or dynamic?

Posted: Tue Jun 30, 2009 8:00 pm
by maxchen
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?

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

Posted: Thu Jul 09, 2009 5:37 pm
by maxchen
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, .....