Rolling one step forecasts for GARCH model using EViews

2017-11-28 17:37:54

I am newbie in Eviews. I am stuck with an analysis. I searched all the forum and found some related topics about my problem. However, I could not manage to solve my problem.

My problem:

I have 964 return observations of a stock. By a windows size=200, I want to make rolling one a head forecasts for conditional variance using GARCH(1,1) model. And I also want to estimate the model coefficients at every 25 step.

For example,

using observations from 1 to 200, first estimate the model coefficients, then using the estimated model, I want to forecast 201'th conditional variance,

using observations from 1 to 200, first estimate the model coefficients, then using the estimated model, I want to forecast 202'th conditional variance,

.......

using observations from 26 to 225, first estimate the model coefficients, then using the estimated model, I want to forecast 226'th conditional variance,

......

and so on.

I wrote such a code combining pieces from other topics. However,