EGARCH Model Simulations/Bootstrapping
Posted: Fri Sep 07, 2012 4:47 pmThese 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