Obtaining the conditional variance series after GARCH est.

[DJM]

Hi,

I have a series of daily observations for the Japanese currency after turning these into returns I estimated a GARCH (1,1) model.

I then went to equation estimation and my 'sample' was from 07/07/2002 - 7/06/2005 (1095 observations)

I then went to proc --> forecast and labelled my forecast series lnjpysf (lnjpy static forecast). The forecast sample was from 7/07/2005 - 7/07/2007.

I want the forecast of variance as a series - which I can get as graph. To get the forecasted GARCH variance series I went to proc--> 'Make GARCH variance series but I get NA for the forecast period and GARCH variance values for the estimation period (file called GARCHvarforecast)

Is there a way I can get the forecasted variance as a series- where am I going wrong? I am using Eviews 7.

Thank you for any input.

DJM

[trubador]

then went to proc --> forecast and labelled my forecast series lnjpysf (lnjpy static forecast). The forecast sample was from 7/07/2005 - 7/07/2007.

Have you tried labeling your garch series as well? In the forecast dialog, there is also a box called "GARCH(optional)"...

[DJM]

Thank you! I did that and now I have what I need.

Cheers mate.