Alex Danut

2 Questions 1 Answers 0 Followers

Questions related from Alex Danut

How do I get the RMSE, MAE, MAPE for Volatility Forecasting in EVIEWS?

I want to forecast volatility with GARCH, EGARCH and GJR-GARCH. How do I obtain the RMSE, MAE and MAPE. The problem now is that I am using a mean equation and the values reported in the little...

03 August 2017 6,983 7 View

I have estimated an ARIMA(3,3)-GARCH(1,1) model, but ARIMA is nonstationary/noninvertible. Should I remove it?

I have fitted and ARMA(3,3) to a process using AIC and then I wanted to capture volatility dynamics for forecasting out-of-sample. However, when I add the GARCH(1,1) the ARIMA equation is...

01 August 2017 5,007 7 View