On Wed, 17 Jun 2009, alisson rocha wrote: > i`ve been trying to make forecast with a garch model. > For example, using the data djclose, i wrote the code below: > ######################################################## > open djclose # open data > genr return=ldiff(djclose) # generate returns > garch 1 1; return # garch(1,1) > ######################################################## > > Question: From here, what gretl code i can use to make a 'out of > sample' forecast to the dow jones return serie(return) - for > example, for the days 1/2/1990,1/3/1990,1/4/1990 - with a 95% > confidence interval? Here's script which will do what you want: open djclose.gdt genr y = ldiff(djclose) scalar n = $nobs # add three extra observations addobs 3 # restrict sample to real data smpl ; -3 garch 1 1 ; y # set out-of-sample range smpl +n +3 # and ask for a forecast fcast Allin Cottrell _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users