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st: How to let Arch give out of sample prediction??


From   "F. Gao" <gaofaye@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: How to let Arch give out of sample prediction??
Date   Wed, 4 May 2005 22:19:43 -0500

Dear all,

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 yhat

predict cond_var, variance

Can anyone tell me why the last two commands would not give out of
sample predicitons? Thanks!

Faye Gao

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