Hello everyone,

Maybe i was not too much specific last time:

I have a variable "y" that follows a GARCH(1,1) process. Then, i Gretl i type:

garch 1 1 ; y const

Then i got the result and forecasting the out-of-sample values of y can be done in the usual way. However, i'm interested in forecasting the out-of-sample variance. I don't know if such a function exists in Gretl.

Thanks in advance,

Alejandro

Hello,

How can we get the out-of-sample volatility / variance forecasts of a 
GARCH model?

Thank you,

Alejandro