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st: Using GARCH to forecast

From   tom smith <>
To   "" <>
Subject   st: Using GARCH to forecast
Date   Sat, 24 Nov 2012 16:26:16 +0000

Dear all,

I have a question regarding the GARCH estimation.
I would like to evaluate the predictions of a GARCH estimation on the basis of a part of my own sample.
The way I did this was:

   gen d1=1 if q>=yq(1990,2) & qtr<=yq(2012,2)
   replace d1=0 if d1==.

To generate a dummy that defines the part I want to use to create the model and the part to check it.


    arch X if d1==0, arch(1) garch(1)

Then I apply the GARCH on my variable X

But my question is now how can I validate this model? because when you use an ARIMA model you could just use:

   predict forecast if val2==1

And then compare the forecast with the variable.

Sorry but I'm new to TS with stata...


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