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How to calculate confidence interval for GARCH forecast values?

ezbentley

ezbentley

Joined
3/27/09
Messages
28
Points
11
Right now I am using MATLAB garchfit and garchpred to build a GARCH(1, 1) model to forecast volatility over the next k periods. How can I calculate the confidence intervals of the forecasts? I searched through several textbooks and papers but didn't find a clear answer. One paper mentioned something related to delta method but I am not sure how to apply it. Any help will be appreciated.
 

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