[Gretl-users] forecasting dow jones with garch

Stefano Balietti futur.dorko at gmail.com
Sat Jun 20 06:07:41 EDT 2009


If you wanted to use a wider range of GARCH models you can also try
the G.I.G. - Garch in Gretl - library.
It is user functions package I coded and although it is not officially
released yet, for what concerns estimations is quite reliable.

You can find it at

http://www.shakty.org/code/sw.php?section=gig

There is also a pdf documentation which is not completely updated, but
still is more than comprehensive.

As I told before it is a work in progress library, then comments and
bugs detections are very welcome.

Hope it helps.

Stefano

On Thu, Jun 18, 2009 at 10:20 PM, Allin Cottrell<cottrell at wfu.edu> wrote:
> 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
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> Gretl-users at lists.wfu.edu
> http://lists.wfu.edu/mailman/listinfo/gretl-users
>


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