Well, at this moment, I just want to know how to do the forecast. We have spent so much time studying the estimation part...
now the coefficients are there, estimated, how to do the forecast? On Thu, Feb 28, 2008 at 1:35 PM, elton wang <[EMAIL PROTECTED]> wrote: > I've heard opinions that GARCH/SV volatility models > are not better on forecasting than simple exponential > moving average volatilities or even rolling window > historical vol. > Any practitioners mind comment? > > > > --- Michael <[EMAIL PROTECTED]> wrote: > > > 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! > > > > _______________________________________________ > > [EMAIL PROTECTED] mailing list > > https://stat.ethz.ch/mailman/listinfo/r-sig-finance > > -- Subscriber-posting only. > > -- If you want to post, subscribe first. > > > > > > > ____________________________________________________________________________________ > Looking for last minute shopping deals? > > _______________________________________________ > [EMAIL PROTECTED] mailing list > https://stat.ethz.ch/mailman/listinfo/r-sig-finance > -- Subscriber-posting only. > -- If you want to post, subscribe first. > ______________________________________________ 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.
