Hello,
I am working now with time series and I found your script for garch
forecasting which was very useful for me:
<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>
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 for garch model. Moreover I would like to ask if the same
procedure is possible for GJR model. I tried with GIG procedures: I
estimated model but than I have problem how to get residuals and
conditional variance because language from the script above doesn't
work. I would like to add that I am quite new user of Gretl. I will be
very gratefull for any suggestion from you.
Best regards,
Tomasz Bielawski
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