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Hi,

I've run a simple Garch model, and when performing static forecasts I receive an error saying "Unable to perform ARCH operation due to missing observations". I can however run dynamic forecasts fine, and static forecasts fine if the estimation method is OLS.

Does anybody know some possible causes of this?

Any help would be much appreciated!

Thank you

Andy

This attachment might help.

These are the fitted,actuals and residuals. From 2010M9 the fitted pretty much exactly match the actuals, so something is up here.

You probably have missing data over the forecast period.

Thanks for your reply.

I have some blank sample space in order to make room for forecasts. And I am forcasting 1 step ahead, so I don't have data for this period.

Then you cannot perform a static forecast.

Then you cannot perform a static forecast.

Can you explain why? If I am just trying to perform a 1 step ahead forecast, I have all the data required to produce a forecast.

Is it something in the GARCH specification that prevents a one step forecast from being run?

thank you

I'm confused - do you have actual data over the forecast period or not? You need actuals to perform a static forecast.

I don't have actual data over the forecast period. But I am only trying to forecast the next blank datapoint.

i.e. I have data up to time t, and want to estimate a data point for t+1.

I would have thought this wouldn't be a problem, since I have data enough data previously to feed into the 1 step ahead forecast.

Thanks

Post your workfile.