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GARCH

Posted: Thu Jan 13, 2011 11:45 am
by brennan6738
Does anyone know how to pull the volatility forecast from a GARCH into a table? Also, if I want to get what the average volatility is assumed to be by the model do I just use the last data point of the GARCH forecast or do i use teh average using all data points over the forecast period?

Re: GARCH

Posted: Sun Apr 03, 2011 8:44 am
by Lyubov
Does anyone know how to pull the volatility forecast from a GARCH into a table?
Hello!
If you want to save forecast's values of garch, you need to enter some name into the textbox "GARCH(optional)" in dialog window Forecast. EViews will create new series in your workfile after it.

Re: GARCH

Posted: Sun Apr 03, 2011 8:45 am
by Lyubov
Also you can obtain the conditional variance estimates via Proc/Make GARCH Variance Series.