Re: [Gretl-users] Forecasting variance of a GARCH model
Hello Sven,
Thank you for your response.
I think you refer to Chapter 29 - Forecasting in "Gnu Regression,
Econometrics and Time-series Library" by Allin Cottrell. But I cannot
replicate to what is explained there.
Let me be more clear for what I seek help from the forum.
For example, I estimate the conditional volatility in index log returns
using EGARCH model by using the following script,
include gig.gfn
egarch = gig_setup(returns, 7, const)
gig_set_dist(&egarch,1)
gig_estimate(&egarch)
After estimating the results, the Chapter - 29 instructs to retrieve the
Y series by usnig the script
series yh = $yhat
but this script replies => "The statistic you requested is not available".
I want to know how to estimate in the sample and out of sample
forecasting after estimating EGARCH model and measure the forecast
performance using loss functions like Mean square error, Root mean
square error etc.
Thank You.
Regards,
Karthik
Sven Schreiber wrote on 2014-09-26 07:40 PM +0530:
> From the table of contents of the help doc gig.pdf, it appears
there's a
>section on forecasting (3.5?). Have you read it?
>
> cheers,
sven
Am 26.09.2014 um 15:17 schrieb Karthik Raju:
Hello,
I am writing to seek help to forecast volatility of index returns using
GRETL.
In GRETL, I want to know how to perform in the sample and out of sample
forecasting after estimating index return series by using GARCH variants
in the gig package.
Thank you.
Best,
Karthik
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