GARCH 1,1 Out of sample forecasting.
Posted: Wed Jul 17, 2019 12:02 pm
Hello,
I am rather new in the Eviews universe and I require some clarification when it comes to out of the sample forecast for GARCH 1,1 GARCH-M and PARCH Models. I have 3360 daily observations from Russian RTSI in DLOG form, I have done all the tests and so on but I am stuck at forecasting, especially out of the sample. If I run GARCH 1,1 Model on 3350(10 less than total) observation and then run dynamic/static forecast on full 3360 observations, does that qualify as out of the sample forecast? If I run a model on 3360 obs and then forecast on 3360obs would it be in the sample forecast? This is the last missing part of my dissertation, I would really appreciate your help.
I am rather new in the Eviews universe and I require some clarification when it comes to out of the sample forecast for GARCH 1,1 GARCH-M and PARCH Models. I have 3360 daily observations from Russian RTSI in DLOG form, I have done all the tests and so on but I am stuck at forecasting, especially out of the sample. If I run GARCH 1,1 Model on 3350(10 less than total) observation and then run dynamic/static forecast on full 3360 observations, does that qualify as out of the sample forecast? If I run a model on 3360 obs and then forecast on 3360obs would it be in the sample forecast? This is the last missing part of my dissertation, I would really appreciate your help.