EGARCH Model Simulations/Bootstrapping

[TomDoan]

These are a pair of almost identical programs which do forecasts of EGARCH models using random number simulation (Monte Carlo) and bootstrapping. Because of their structure, EGARCH models don't have a simple recursive calculation for out-of-sample forecasts, so you have to do some type of simulation. These both use the median of the "cloud" as the forecast and show a 90% confidence interval.

egarchsimulate.rpf

Random number simulation

(1.54 KiB) Downloaded 72 times

egarchbootstrap.rpf

Bootstrapping

(1.62 KiB) Downloaded 66 times

garch.asc

Data file

(67.28 KiB) Downloaded 66 times