Diebold-Mariano Test
Posted: Wed Jul 26, 2017 6:29 pm
Hello Guys,
I am trying to evaluate the forecasting accuracy of 5 GARCH models(GARCH,EGARCH,GJR,APARCH,CGARCH) in 5 different indexes.I am trying to use the DM test in EViews 8, however the add in requires to input 2 equations, whereas i want to use the forecasting errors which are series. Can anyone please provide any hint on how to run the DM test? Thanks in advance for any response.
I am trying to evaluate the forecasting accuracy of 5 GARCH models(GARCH,EGARCH,GJR,APARCH,CGARCH) in 5 different indexes.I am trying to use the DM test in EViews 8, however the add in requires to input 2 equations, whereas i want to use the forecasting errors which are series. Can anyone please provide any hint on how to run the DM test? Thanks in advance for any response.