Please keep the communication on the list. [See below for Karthik's
Am 29.09.2014 um 15:46 schrieb Karthik Raju:
First, I wish to congratulate you for organizing the 4th GRETL
conference to be held at Berlin on 12 & 13 June 2015.
Now, I will cite you a literature related to what I intend to do.
Please refer to the article in the link http://goo.gl/zwhzS7
. In this
article, the author compare the predicted variance from different models
to the realized variance and evaluates the performance of those models
by using loss functions to choose a best model.
Similarly, I have a dataset comprising 5 years of stock index returns
for which I want to estimate the conditional variance using models like
TARCH, EGARCH, APARCH etc. Then, I want to forecast/predict the models
for 1 year ahead and measure the forecasting/predicting ability of the
Sven Schreiber wrote on 2014-09-29 10:50 AM +0530:
>> Please show us some example from the literature where this is done, in
>> order to address the conceptual difficulties that Jack mentioned. Only
>> afterwards could we possibly move to the stage of formulating code.
> Am 28.09.2014 um 10:26 schrieb Karthik Raju:
> I am a beginner in time series analysis. So, please can you guide me how
> to formulate the code for unique models like EGARCH, TARCH etc.
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