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.
rolling or dynamic forecast
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