hello guys!
i need your help!
i am writing my Master thesis and i am stuck on VaR - garch 1,1 forecast code!
what i am trying to do is to predict conditional variance and coeficients for garch 1,1. my sample includes 5000 observations where 2500 are in sample and 2500 out. being unaware of programming i read eviews pdf guide and i wrote this code for the variance:
for %y GARCH01 RESID01
series GARCH01f = GARCH01
series RESID01f = RESID01
next
equation temp.eq1. arch(1,1) y c
coef coef_c
coef coef_a
coef coef_b
!n = y. @regobs
!h = 2609
for !j = 3132 to !h
smpl @first + !n + !j-1 @first + !n + !j
GARCH01f = c + a*RESID01f(-1)^2 + b*GARCH01f(-1)
RESID01f = 0
next
smpl @all
at first it seems to run but on estimation output is written the phrase "Equation does not have estimates"
any idea??
please help!!!!
:? :? :? :? :? :?
forecasting with garch 1,1
Moderators: EViews Gareth, EViews Moderator, EViews Jason, EViews Matt
Re: forecasting with garch 1,1
i am sorry! i was meant to write !h=2500 and !j=2501
so please help!!
so please help!!
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