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st: How to let Arch give out of sample prediction??
I am using arch command to estimate a time series for a subset of
years, and hoping to get predicted values for fitted values as well as
the conditional variance out of sample (after 1990). I only get the
in-sample predictions somehow. Here is what I did
arch y x if year<1990, archm arch(1) garch(1)
predict cond_var, variance
Can anyone tell me why the last two commands would not give out of
sample predicitons? Thanks!
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