GARCH(1,1) Volatility Forecast
Posted: Tue Dec 30, 2014 8:27 am
Hi, everyone!
I am using the student version of EViews 7 to write a paper, where I need to compare the volatility forecast of a GARCH (1,1) model to the actual volatility. For the purpose I have a sample of hourly returns (stock) for 9 months, I did the model based on the first 6 months (just intraday returns, no squares) and then I forecasted the conditional variance for the next 3 months and got the graph that is attached to the post.
I think it looks OK, but the problem is that the series that gets saved when I do the forecast, doesnt look anything like this. I dont know how to plot this graph against whatever my proxy for volatility in the next 3 months will be (I am thinking of squared intra-day returns, but maybe you guys can point me to something more suting, considering what I've used for my model)
Thank you!
I am using the student version of EViews 7 to write a paper, where I need to compare the volatility forecast of a GARCH (1,1) model to the actual volatility. For the purpose I have a sample of hourly returns (stock) for 9 months, I did the model based on the first 6 months (just intraday returns, no squares) and then I forecasted the conditional variance for the next 3 months and got the graph that is attached to the post.
I think it looks OK, but the problem is that the series that gets saved when I do the forecast, doesnt look anything like this. I dont know how to plot this graph against whatever my proxy for volatility in the next 3 months will be (I am thinking of squared intra-day returns, but maybe you guys can point me to something more suting, considering what I've used for my model)
Thank you!