extraction of the estimated conditional variance
Posted: Mon Sep 10, 2012 3:14 am
Hi,
i estimated a TGARCH model using the window "program".
I specified a period for the estimation and a period for the backtest of the model.
I would like to extract the forecast of the conditional variance of the period for backtest, but I don't know how to do it using the program'swindow?
thanks a lot,
Anaïs
i estimated a TGARCH model using the window "program".
I specified a period for the estimation and a period for the backtest of the model.
I would like to extract the forecast of the conditional variance of the period for backtest, but I don't know how to do it using the program'swindow?
thanks a lot,
Anaïs