Serving the Quantitative Finance Community
ARMA and GARCH forecasts
Hi.. I have a few simple enquiries..Does anyone have a Matlab script to compute 1 and 2 step ahead forecasts for ARMA models? I've Googled it extensively, tried the Spatial Econometrics Toolbox as well as other standard toolboxes but couldn't find one.Also, how do I derive multistep ahead forecasts for a GARCH(2,1) model at the forecast origin h?And finally, how do you derived E(y2|y1,y3) and V(y2|y1,y3) when yt is an MA(2) process?Any help much appreciated.