Hello Sven, 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 models used. Best, Karthik Raju 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. >> >> thanks, >> sven > > 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. > > > _______________________________________________ > Gretl-users mailing list > Gretl-users(a)lists.wfu.edu > http://lists.wfu.edu/mailman/listinfo/gretl-users