Rolling GJR forecasts

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Joined: Mon Oct 24, 2011 4:00 pm

Rolling GJR forecasts

Postby Dan » Mon Aug 19, 2013 10:59 am

Hi Carol,

I used EViews to generate rolling GJR forecasts, with data window containing 1250 obs. But some of the forecasts are negative and, i checked on a couple of individual estimation on a couple of estimation samples, I found that the error coefficients are negative. Is this an indication that the model is inappropriate for some estimation samples, hence the negative forecasts? But I have also run plain vanilla GARCH and there are no negative forecasts! It just seems odd that the vanilla GARCH fits the samples well, but the GJR doesnt! Do you know where the problem is?

Warmest regards,


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