EViews.com

Hello all

I am working on some project to evaluate the forecast ability of different GARCH models, but before doing that I have some questions on how Eviews estimates some values when it comes to forecast of volatility.

Assume we have some log returns of an index and I estimate a GARCH(1,1) model, with zero mean equation. So the return formula will be:

rt = μ +et where μ=0 and et = square(ht)*ηt , where ηt is i.i.d with mean zero and 1 variance and ht the GARCH specification:
ht = ω + α*e(t-1^2) + β * h(t-1) . So a classic GARCH(1,1) with zero mean.

I have some questions when I use the static and dynamic forecast of Eviews:

1) How is the dynamic forecast's e(t-1) calculated by eviews? By trial and error I found that Eviews uses e(t-1) = square(h(t-1) but shouldn't it be equal to rt instead?

2) How is the static forecast calculated? Here I want to ask, what is Eviews using as actual variance proxy for t-1 for use in the GARCH model?

3) Finally, a general question. Is there a way to obtain the forecasted values of variance as a list? I see that on the graph the values are displayed but not sure how I can have them as a series.

Thank you in advance!

Hello all

After investigating a bit more I realized that I was a bit confused between the static and dynamic forecast. The static is using the t-1 period actual residual for the ht calculation, while the dynamic is using the h(t-1) in place of e(t-1) , so the dynamic ht formula is actually ω+(α+β)*h(t-1)

But what I want still to ask is if I can obtain somehow the numerical series of the GARCH forecasted values (either dynamic or static). I want to calculate MAE/RMSE etc for the variance, using the squared returns as proxy of the true volatility, but since Eviews doesn't do that automatically, I need to have the volatility forecast series to do that manually if possible.

Hit the forecast button and enter a name in the garch box