Re: [Gretl-users] Forecasting variance of a GARCH model

Hello Sven, 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 models used. Best, Karthik Raju Sven Schreiber wrote on 2014-09-29 10:50 AM +0530: