forecasting volatility in returns
Posted: Wed May 13, 2009 2:04 am
by safe. stats. safe
HI MY QUESTION IS HOW CAN I FORECAST VOLATILITY OUT OF SAMPLE if i want to forecast 1 year ahead i am doing but i am receiving the message of missing data.Tell me the correct procedure i have estimated GARCH model using all my observations from 1/1/1998 TO 3/6/2009 AND I WANT TO FORECAST 1 YEAR ahead. please tell me where i am wrong
Re: forecasting volatility in returns
Posted: Wed May 13, 2009 2:38 am
by trubador
There are two things that you should be careful about:
1) Make sure that "Range" of your sample is long enough to include your forecast horizon (i.e. you should have room for observations through 3/6/2009 - 3/6/2010). If not, please extend it.
2) You should use the "Dynamic Forecast" method and specify a name for "GARCH(optional)" along with the range of your forecast sample.