How do you forecast GARCH in EViews?

How do you forecast GARCH in EViews?

Open up your equation, hit the forecast button, change the forecast sample to be 12/23/2013 12/23/2014, fill in a name for the GARCH series and hit ok.

How does EViews calculate volatility?

Re: how to estimate realized volatility using intraday data 3, then sum up each daily’s r2, for example, if there are 4 hours trading time, then for each day there has 48 r squart, then sum up these 48 r2 value, it will give the daily realized volatility.

What is volatility GARCH?

GARCH models describe financial markets in which volatility can change, becoming more volatile during periods of financial crises or world events and less volatile during periods of relative calm and steady economic growth.

Why do we forecast volatility?

Virtually all the financial uses of volatility models entail forecasting aspects of future returns. Typically a volatility model is used to forecast the absolute magnitude of returns, but it may also be used to predict quantiles or, in fact, the entire density.

How is intraday realized volatility calculated?

Realized Volatility (RV) Formula = √ Realized Variance The results are then annualized. Realized volatility is annualized by multiplying daily realized variance with a number of trading days/weeks/ months in a year. The square root of the annualized realized variance is the realized volatility.

Can volatility be predicted?

A volatility model should be able to forecast volatility. Virtually all the financial uses of volatility models entail forecasting aspects of future returns. Typically a volatility model is used to forecast the absolute magnitude of returns, but it may also be used to predict quantiles or, in fact, the entire density.

How do you predict volatility of a stock?

Standard deviation is the most common way to measure market volatility, and traders can use Bollinger Bands to analyze standard deviation. Maximum drawdown is another way to measure stock price volatility, and it is used by speculators, asset allocators, and growth investors to limit their losses.