The RATS Software Forum

Thank you Tom for your prompt response. Appreciate it.
Monty

Are there RATS codes available to winsorize the data? If so, can anyone share the codes with me.
Thank you,
Monty Mansur

Make sense now. Thank you for clarifying this for me.

Just to clarify – I can use the conditional variance H(t) as a one-step ahead out-of-sample forecast for H(t-1) even when I use EGARCH? Thanks

1. My understanding is that H series is for in-sample forecasts, not out-of-sample.
2. I ran egarchbootstrap.rfp with normal and “t” distributions and obtained n-step ahead forecasts. I would like to compare forecast accuracy of these two distributions. How do I do that?

1. I would like to calculate one step ahead out-of-sample forecasts using EGARCH. Is there any code/RPF that can help me to do this? Appreciate any help you can provide. Thank you. 2. I have used the egarchbootstrap.rfp code to generate n-step forward forecasts. Is there a way to calculate the root ...