rolling or dynamic forecast
Posted: 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.
Thank you.