Hello Allin,
how could this happen? If I have a significantly better forecast of the High
and of Low, how can there be no gains in forecasting their difference? Im not
expecting a three-fold increase in RSQ of (High - Low) modeling, however DMW
test shows that forecasts from the base model and the rich model are
indistinguishable from each other in terms of quality and this is rather
unexpected for me.
Is there a way for me to reconstruct the (in sample) predicted series from a
VECM model? There is a "Save residuals for Eq1 and Eq2" in Model results
window, do these residuals apply to High/Low prices or d_High/d_Low when I have
a VECM 7 1 High Low?
Thank you!
Daniel
