Re: [Gretl-users] GARCH, Forecasting
On Mon, 17 Jan 2011, [ISO-8859-1] Alejandro Mosi�o wrote:
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.
There is no built-in function to do this, but you can compute a
one-step ahead forecast of the variance from the model data, as
hown in the following example script.
<script>
open b-g.gdt
garch 1 1 ; Y
series e = $uhat
series h = $h
dataset addobs 10
a0 = $coeff[2]
a1 = $coeff[3]
b1 = $coeff[4]
series hfc = h
# set future errors to their expectation
e = misszero(e)
# forecast the variance
hfc = a0 + a1 * e(-1)^2 + b1 * hfc(-1)
smpl 1970 ;
print e h hfc --byobs
</script>
Allin Cottrell