Forecasting returns and prices
Posted: Fri Apr 10, 2009 5:33 am
Dear all,
I have the following model (EWMA)
rt=m+at
at=sigma(t)*error(t)
sigma(t)^2=lambda*sigma(t-a)^2+(1-lambda)*r(t-1)^2 (EWMA)
I forecasted new sigmas using EWMA for 10 days but I am a bit puzzled how to forecast rt and prices when i know EWMA calculated volatilities and how to do that in Eviews. Calculations for EWMA volatilities I done in EXCEL.
Can anyone help me?
Thanks.
I have the following model (EWMA)
rt=m+at
at=sigma(t)*error(t)
sigma(t)^2=lambda*sigma(t-a)^2+(1-lambda)*r(t-1)^2 (EWMA)
I forecasted new sigmas using EWMA for 10 days but I am a bit puzzled how to forecast rt and prices when i know EWMA calculated volatilities and how to do that in Eviews. Calculations for EWMA volatilities I done in EXCEL.
Can anyone help me?
Thanks.