Beginner ARch Garch need help

[diego45]

got the answer for my topic, Show next message below thanks

[JimForest]

Looks like you are just estimating the mean equation as arma(1,1) and the variance equation as Garch(1,1) by maximum likelihood with the mean equation assumed to follow a t-distribution.

Garch(1,1) is pretty standard and the distributional assumption doesn't sound outrageous.

Your forecast specification can either by static or dynamic. I'd look at that part of the user manual.

[diego45]

Thanks for help

I have another question,

i get that graph :


What does it means ?

thanks

[JimForest]

Looks like a graph of the forecasted (static?) series with +-2 standard error forecast confidence intervals.

The static forecasts are a series of 1-step ahead forecasts.

[diego45]

thanks for answer,

I don't know how to proceed. i have my garch equation : h(t) = c + 0,15 ut-1^2 + 0,88h(t-1)
so io should estimate the sigma(t+1).

But i can't estimate ht(t+2) (t+3) ... cause i don't have ut+1 ut+2 ...
Forecasting :
I have a sample range of 504 observations, so i resize the sample 1 - 300 i use garch modele to make an estimation of the conditional variance equation.

so i got this output :




Then i try to forecast the conditional variance. on the sample 300-504 like i have estimate on 1-300 i could call it "ex-post" forecasting



and i get this conditional variance.



So now i estimated with garch modele on the sample 300-504 and i get this conditional variance :

Is that the good procedure ?

I means my modele look like to be good no ?

if i have understood I cant forecast out of the sample ? or only for 505 ? cause after i don't have enought resid(t)^2 ?



So i can forecast the conditional variance t+1 ? and if i do it every day i could forecast forever

thanks you