st: Using GARCH to forecast

[tom smith <tom_smith_tomm@hotmail.com>]

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...


Thanks,
Tom

 		 	   		  
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