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Issues with using predict on double EGARCH specification #77

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tysonds opened this issue Sep 27, 2023 · 0 comments
Open

Issues with using predict on double EGARCH specification #77

tysonds opened this issue Sep 27, 2023 · 0 comments

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@tysonds
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tysonds commented Sep 27, 2023

Hi,

I am wondering how exactly the predict function works with a doubleEGARCH student-t distribution specification for nahead=1L. I am asking because your original paper references a closed form formula, but I don't find one for double EGARCH in Haas (2004). Moreoever, I am getting an issue whereby every once in a while my rolling double EGARCH model produces infinite one-step ahead volatility forecasts so I am trying to debug. Any help is appreciated.
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