Forecasting using an EGARCH-M

[Socrates_plato]

Hi,
I'm trying to forecast both the mean and variances of a egarch-m model using the garch instruction the code i'm working with is below:

open ratsinitialdata.xls
all 62
data(format=xls,org=columns) / inflationrate
*
equation eq1 inflationrate
# constant inflationrate{1 2}
source E:\Honours\Thesis Data\garchfore.src
garch(equation=eq1,p=1,q=1,exp,asymmetric,resids=a1,hseries=h1) / inflationrate
@garchfore(steps=1) h1 a1

does anyone have any ideas i can try?

Thanx

[TomDoan]

Hi,
I'm trying to forecast both the mean and variances of a egarch-m model using the garch instruction the code i'm working with is below:

open ratsinitialdata.xls
all 62
data(format=xls,org=columns) / inflationrate
*
equation eq1 inflationrate
# constant inflationrate{1 2}
source E:\Honours\Thesis Data\garchfore.src
garch(equation=eq1,p=1,q=1,exp,asymmetric,resids=a1,hseries=h1) / inflationrate
@garchfore(steps=1) h1 a1

does anyone have any ideas i can try?

Thanx

Unfortunately, there's no simple way to forecast an EGARCH model. You have to use some form of simulation (bootstrapping or random draws).