EViews.com

Hello!

My situation is following:
I am developing a GARCH model on stock returns. I have daily data of stock returns for a 4-year period.
1) I want to make a GARCH model based on observations of first 3-years. Let's say it's a Model X.
2) I want to apply the Model X to the 4th year data. (I want to see, how well this Model X fits to the 4th year data).

Actually the paragraph 1) is already completed for me - I have the Model X. my problem is paragraph 2) - how to fit Model X to 4th year data? and it would be great if I could also get statistical information like R^2, Adjusted R^2, Akaike, Schwarz etc. ...
Is it possible in EViews? and how to do it exactly?

Thanks in advance!

You can forecast from your equation into the 4-year. That will get you fitted values, which you can then compare against the actual. EViews won't compute the out of sample R^2 or any other statistics, but, given the fitted values, you could compute the residuals and then calculate them by hand.

thank you.

but is it possible for GARCH model to somehow extract and show numeric values of conditional variance in EViews?
Right now I can only view the graph (View --> Garch Graph --> Conditional Variance)

When you forecast from a GARCH equation you have the option of forecasting the GARCH series too.

I have one more question.

I have original data with ~1000 observations. Then I estimate ARMA(1,1) model. When I click "View-->Actual, Fitted, Residual Table" then there are only ~700 values in this table. what could be the problem?

How many observations were used in the estimation (should say at the top of the estimation output).