Re: [Gretl-users] forecasting dow jones with garch
If you wanted to use a wider range of GARCH models you can also try
the G.I.G. - Garch in Gretl - library.
It is user functions package I coded and although it is not officially
released yet, for what concerns estimations is quite reliable.
You can find it at
http://www.shakty.org/code/sw.php?section=gig
There is also a pdf documentation which is not completely updated, but
still is more than comprehensive.
As I told before it is a work in progress library, then comments and
bugs detections are very welcome.
Hope it helps.
Stefano
On Thu, Jun 18, 2009 at 10:20 PM, Allin Cottrell<cottrell(a)wfu.edu> wrote:
On Wed, 17 Jun 2009, alisson rocha wrote:
> i`ve been trying to make forecast with a garch model.
> For example, using the data djclose, i wrote the code below:
> ########################################################
> open djclose # open data
> genr return=ldiff(djclose) # generate returns
> garch 1 1; return # garch(1,1)
> ########################################################
>
> Question: From here, what gretl code i can use to make a 'out of
> sample' forecast to the dow jones return serie(return) - for
> example, for the days 1/2/1990,1/3/1990,1/4/1990 - with a 95%
> confidence interval?
Here's script which will do what you want:
open djclose.gdt
genr y = ldiff(djclose)
scalar n = $nobs
# add three extra observations
addobs 3
# restrict sample to real data
smpl ; -3
garch 1 1 ; y
# set out-of-sample range
smpl +n +3
# and ask for a forecast
fcast
Allin Cottrell
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