Hello everyone,
I have a very small problem that is bothering me in my GARCH estimation/prediction: The estimation part works perfectly, however I encounter a problem when I want to predict/forecast the conditional variance for the next period. Here is part of my code:
Mdl = garch(1,1);opts = optimset('fmincon');opts.Algorithm = 'interior-point';EstMdl = estimate(Mdl,return,'options',opts);Vf1 = forecast(Mdl,1,'Y0',return);
Now, in the last line of code, I run into the problem… The error message is as follows:
Conditional variance constant must be specified. Error in Code (line 774) Vf1 = forecast(Mdl,1,'Y0',return);
But I cannot understand why this problem appears… The returns consist of a vector (60,1) and everything should normally be perfectly fine..
Thank you guys very much already! I appreciate your help a lot!
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