Re: [Gretl-users] GARCH, Forecasting
Am 08.11.2012 21:14, schrieb Tomasz Bielawski:
I have question if it is possible in gretl to prepare similar prediction
with one regressant in variance equation for normal,t and GED
distributions.
Tomasz,
it may well be that I'm missing something here, but if you can estimate
the variance equation, then you can use it for forecasting. If you have
extra terms in there, you need to forecast them, too. But the problem
with certain types of distributions would seem to apply to model
specification and estimation, not to the subsequent step of using
estimated equations for forecasting.
Of course, if you want to have some confidence intervals, then things
become more complicated, but it sounded as if you "just" wanted the
point forecast (of the variance).
cheers,
sven