Superior Predictive Ability test for GARCH models comparison
Posted: Mon Jul 25, 2016 10:27 am
Hi All,
hope someone can give me some tips on this topic!
I want to use the Test of Superior Predictive Ability of Hansen (2001) to compare the forecast power of different GARCH-type models.
I have the models which I want to compare, I have the out-of-the-sample forecast and I understood the purpose of the test, but I really don't know how I should implement it in Eviews.
Thank you in advance for any tips! :D
hope someone can give me some tips on this topic!
I want to use the Test of Superior Predictive Ability of Hansen (2001) to compare the forecast power of different GARCH-type models.
I have the models which I want to compare, I have the out-of-the-sample forecast and I understood the purpose of the test, but I really don't know how I should implement it in Eviews.
Thank you in advance for any tips! :D