Hello, I am working now with time series and I found your script for garch forecasting which was very useful for me:
<script> open b-g.gdt garch 1 1 ; Y series e = $uhat series h = $h dataset addobs 10 a0 = $coeff[2] a1 = $coeff[3] b1 = $coeff[4] series hfc = h # set future errors to their expectation e = misszero(e) # forecast the variance hfc = a0 + a1 * e(-1)^2 + b1 * hfc(-1) smpl 1970 ; print e h hfc --byobs </script> I have question if it is possible in gretl to prepare similar prediction with one regressant in variance equation for normal,t and GED distributions for garch model. Moreover I would like to ask if the same procedure is possible for GJR model. I tried with GIG procedures: I estimated model but than I have problem how to get residuals and conditional variance because language from the script above doesn't work. I would like to add that I am quite new user of Gretl. I will be very gratefull for any suggestion from you. Best regards, Tomasz Bielawski
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Hello,
I am working now with time series and I found your script for garch forecasting which was very useful for me: <script> open b-g.gdt garch 1 1 ; Y series e = $uhat series h = $h dataset addobs 10 a0 = $coeff[2] a1 = $coeff[3] b1 = $coeff[4] series hfc = h # set future errors to their expectation e = misszero(e) # forecast the variance hfc = a0 + a1 * e(-1)2 + b1 * hfc(-1) smpl 1970 ; print e h hfc --byobs </script> I have question if it is possible in gretl to prepare similar prediction with one regressant in variance equation for normal,t and GED distributions for garch model. Moreover I would like to ask if the same procedure is possible for GJR model. I tried with GIG procedures: I estimated model but than I have problem how to get residuals and conditional variance because language from the script above doesn't work. I would like to add that I am quite new user of Gretl. I will be very gratefull for any suggestion from you. Best regards, Tomasz Bielawski |
