rolling GARCH
Posted: Thu Feb 04, 2010 2:36 am
Hi all,
I am looking for a code, taking raw data as input and producing rolling GARCH parameters and forecasts at the chosen window and horizon as vectors.
I have seen some attempts in this forum, but nothing finalized. I am not a programmer yet, but I need the GARCH application for my academic work before I can learn to produce the code myself :/
I would very much appreciate your help.
I am looking for a code, taking raw data as input and producing rolling GARCH parameters and forecasts at the chosen window and horizon as vectors.
I have seen some attempts in this forum, but nothing finalized. I am not a programmer yet, but I need the GARCH application for my academic work before I can learn to produce the code myself :/
I would very much appreciate your help.