How do i store the degr. of freedom in rolling GARCH?
Posted: Wed May 15, 2013 6:08 am
Hello,
I have written some code to be able to forecast conditional variance with a GARCH model (with a rolling estimation window). I am using the t-distribution, and for each regression there's a number for the degrees of freedom. My question is, how do i adjust my code so that the degrees of freedom are stored for each corresponding variance forecast?
Where lth is the original series.
Thank you in advance,
Ola
I have written some code to be able to forecast conditional variance with a GARCH model (with a rolling estimation window). I am using the t-distribution, and for each regression there's a number for the degrees of freedom. My question is, how do i adjust my code so that the degrees of freedom are stored for each corresponding variance forecast?
Code: Select all
series h_1_step=na
series r_1_step=na
for !i=1 to 562
smpl !i 949+!i
equation eq_01.arch(1, 1, tdist) lth c
smpl @all
eq_01.forecast r_pred se_pred h_pred
smpl 950+!i 950+!i
series h_1_step= h_pred 'One-step-ahead of conditional variance
series r_1_step= r_pred 'One-step-ahead of actual series
next
smpl @all
Thank you in advance,
Ola