Hi all, We followed some books and sample codes and did some EMM estimation, only to find it won't be able to generate forecast.
This is because in the stochastic volatility models we are estimating, the volatilities are latent variables, and we want to forecast 1-step ahead or h-step ahead volatilities. So it is nice to have the system estimated, but we couldn't get it to forecast at all. There is a "Reprojection" Method described in the original EMM paper, but let's say we reproject to a GARCH(1,1) model, then only the GARCH(1, 1) parameters are significant, which basically means we degrade the SV model into a GARCH model. There is no way to do the forecast... Could anybody give some pointers? Thanks! ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
