EGARCH(1,1) reasonable?

Current License: CC BY-SA 4.0

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Apr 23, 2023 at 16:03	comment	added	Pleb		You can use 9 years of daily returns to estimate the model parameters, that is not wrong. Typically, you use a rolling window to estimate your GARCH parameters, and then with your new parameters implemented, you forecast 1-step ahead to get the $t+1$ forecast (as an example). At the end of day $t+1$, you have new data available that you can feed into your GARCH model and re-estimate the parameters from day 2 till $t+1$, in order to forecast day $t+2$ and so on (this is one procedure to forecast a GARCH model 1-step ahead). Is this what you're doing when forecasting your model?
Apr 23, 2023 at 15:18	comment	added	probablysid		I didn't use the ARCH package, though I might try and redo it using that. Instead i defined the functions myself and calculated the model parameters using maximum likelihood estimation. However, my main question really was whether it was reasonable to use 9 years worth of daily returns data to forecast 3 years ahead
Apr 23, 2023 at 15:04	comment	added	Pleb		If you have used the `arch` package for estimating and forecasting the GARCH models, then you might find some help here. My answer also provides a link to the arch documentation where the author goes through a lot of examples forecasting various GARCH models. Maybe this will provide some additional insight?
Apr 23, 2023 at 14:45	comment	added	Pleb		It would be easier for us to determine what you have done, if you include your code in the question (and maybe also the graphs).
Apr 23, 2023 at 14:24	history	asked	probablysid	CC BY-SA 4.0