rolling or dynamic forecast

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mukanchik
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Joined: Sun Jun 20, 2010 12:17 pm

rolling or dynamic forecast

Postby mukanchik » Sun Jun 20, 2010 1:21 pm

I've estimted that my best model for forecasting is E-GARCH(1,1) with MA(1) in the mean equation. since lagged residuals are used in both models i'm not sure if i should do rolling or dynamic forecast. If i go with dynamic forecast all those lagged residuals in n-ahead forecast will just be 0 except only 1-step ahead forecast. Would anyone suggest please?
Thank you.

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