FORECAST EVALUATION: RMSE, MAE, MAPE TIC

[ddngoh]

Whats are the codes for MAE etc to enable me evaluate the fitting performance of models?

[TomDoan]

See sections 5.4 and 5.5 of the v8 User's Guide.

[ddngoh]

Thank you very much!

[ddngoh]

Hi Tom, Thanks for all your help! I tried computing the MAE but could not! In the file attached, the authors used RATS for the entire work. On page 41, the computed MAE for correlation and volatility forecast as a way comparing. That is exactly what I want to do!

2. In that same work, they plot estimated and forecast volatility as well as realized volatility on the same graph for each variable for BEKK and DCC! They also plot estimated and forecast correlation as well as realized correlation.

Thankx

[TomDoan]

Hi Tom, Thanks for all your help! I tried computing the MAE but could not! In the file attached, the authors used RATS for the entire work. On page 41, the computed MAE for correlation and volatility forecast as a way comparing. That is exactly what I want to do!

2. In that same work, they plot estimated and forecast volatility as well as realized volatility on the same graph for each variable for BEKK and DCC! They also plot estimated and forecast correlation as well as realized correlation.

Thankx

Then you have to compute the realized volatility and correlation in order to do the comparison.

[ddngoh]

THANX TOM,
Any help with an example as you do?