this data also in gretl
you should do it
open b-g
garch 1 1; Y
and i don't know how do i forecast..
forecasting future volatility...with mathlab.
I am having trouble interpreting the output of garchpred,for example,
spec = garchset('P',1,'Q',1,'TolCon',1e-6);
garchfit(spec,bg);
[coeff,errors,LLF,innovations,sigmas] = garchfit(bg);
[sigmaForecast,meanForecast] = garchpred(coeff,bg,10);
[sigmaForecast,meanForecast]
VL = coeff.K/(1-coeff.ARCH-coeff.GARCH)
newvar = sqrt(VL + (coeff.ARCH+coeff.GARCH)^[1 2 3 4 5 6 7 8 9 10]'*(sigmas(1974)^2-VL))
% this equation is refrenced Options, Future and other Derivatives 6th page 472 equation 19.13(JOHN C. HULL)
sigmaForecast =
0.3834
0.3895
0.3953
0.4008
0.4060
0.4110
0.4156
0.4200
0.4242
0.4282
>> newvar = sqrt(VL + (coeff.ARCH+coeff.GARCH
).^[1 2 3 4 5 6 7 8 9 10]'*(sigmas(1974)^2-VL))
newvar =
0.3477
0.3559
0.3637
0.3710
0.3778
0.3843
0.3904
0.3961
0.4016
0.4067
>>
why two result is different.. and during 10days volatility is mean(sigmaForecast ). is correct?
i'm still in garch world -_-; anybody help me...