On Mon, 17 Jan 2011, [ISO-8859-1] Alejandro Mosi�o wrote: > Maybe i was not too much specific last time: > > I have a variable "y" that follows a GARCH(1,1) process. Then, i Gretl i > type: > > garch 1 1 ; y const > > Then i got the result and forecasting the out-of-sample values of y can > be done in the usual way. However, i'm interested in forecasting the > out-of-sample variance. I don't know if such a function exists in Gretl.
There is no built-in function to do this, but you can compute a one-step ahead forecast of the variance from the model data, as hown in the following example script. <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> Allin Cottrell
