[Gretl-users] GARCH varaints and forecasting

Karthik Raju commons.gretl at karthik.in
Mon Sep 22 10:39:04 EDT 2014


I am writing to seek help in interpreting results of GARCH variants and 
to forecast volatility in index returns.

I am a beginner in time series analysis, currently working on analyzing 
the time varying volatility in index returns. With reference to the 
logarithmic index returns can anyone put light on,

1) How to interpret the output of a GARCH variants?

2) How to forecast variance with the GARCH outputs?

3) How to calculate loss functions to interpret forecasting performance 
of GARCH variants used?

Thank you.


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