First, I wish to congratulate you for organizing the 4th GRETL
conference to be held at Berlin on 12 & 13 June 2015.
I will cite you a literature related to what I intend to do.
Please refer to the attached article. In this article, the author
compare the predicted variance from different models to the realized
variance and evaluates the performance of those models
by using loss functions to choose a best model (Page no. 15 & 16).
Similarly, I have a dataset comprising 5 years of stock index returns
for which I want to estimate the conditional variance using models like
TARCH, EGARCH, APARCH etc. Then, I want to forecast/predict the models
for 1 year ahead and measure the forecasting/predicting ability of the
Sven Schreiber wrote on 2014-09-29 10:50 AM +0530:
Am 28.09.2014 um 10:26 schrieb Karthik Raju:
> I am a beginner in time series analysis. So, please can you guide me how
> to formulate the code for unique models like EGARCH, TARCH etc.
Please show us some example from the literature where this is done, in
order to address the conceptual difficulties that Jack mentioned. Only
afterwards could we possibly move to the stage of formulating code.
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