[Gretl-users] Forecasting variance of a GARCH model

Karthik Raju commons.gretl at karthik.in
Sun Sep 28 04:26:11 EDT 2014


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.

Thank you.

Best,
Karhtik

Riccardo (Jack) Lucchetti wrote on 2014-09-28 01:04 PM +0530:
> On Sun, 28 Sep 2014, Karthik Raju wrote:
>
>> Hello Sven,
>
> [...]
>
>> But the forecast generated by the above script was in range from -10 to
>> negative values in millions.
>
> You can't simply cut and paste the example provided: that applies to a
> model (GARCH) in which the law of motion for the volatility is formulated
> in terms of the conditional variance. Instead, you estimated an EGARCH
> model, which uses its log. It's not at all clear to me (nor, I suspect, in
> the literature) how precisely you ought to forecast volatility in that
> case, as you should deal with non-linearity properly in your loss funcion.
> I guess that for a crude approximation of a 1-step, 2-step, 3-step ahead
> forecast you could exponentiate what you get from the recursive formula,
> but definitely I wouldn't recommend that from a statistical viewpoint.
>
> -------------------------------------------------------
>     Riccardo (Jack) Lucchetti
>     Dipartimento di Scienze Economiche e Sociali (DiSES)
>
>     Università Politecnica delle Marche
>     (formerly known as Università di Ancona)
>
>     r.lucchetti at univpm.it
>     http://www2.econ.univpm.it/servizi/hpp/lucchetti
> -------------------------------------------------------



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