[Gretl-users] forecasting dow jones with garch

alisson rocha alisson_rocha2003 at yahoo.com.br
Wed Jun 17 18:16:06 EDT 2009


hi,people,

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?

Thanks all,







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