Garch Forecasting
Posted: Fri Nov 28, 2014 11:32 am
Hi everyone,
I have a question regarding the forecasting in eviews. I have estimated a Garch (1,1) model based on 1200 observations, and forecasted the next 260 days (proc-forecast).
I was just wondering about the methodology eviews is using. Is it doing a day per day forecast based on the initial model? Or is it using a rolling window where it shifts the sample after it has estimated 1 day?
Thanks a million!
I have a question regarding the forecasting in eviews. I have estimated a Garch (1,1) model based on 1200 observations, and forecasted the next 260 days (proc-forecast).
I was just wondering about the methodology eviews is using. Is it doing a day per day forecast based on the initial model? Or is it using a rolling window where it shifts the sample after it has estimated 1 day?
Thanks a million!