[Gretl-users] Dynamic forecast

Thursday, 17 January 2019

Dear Professors,

I will like to know how to compute a dynamic forecast from maximum
likelihood estimation. For example, If I estimated a ad-hoc GARCH model as
follows

series e=inf - beta1-beta2*inf(-1)
series h=var(e)
series h=alpha+theta*e(-1)^n

So how would I forecast dynamically variable "inf" and "h". I would
appreciate if you can share a loop code for this.

Thanks
Timmy J.O