EMM: how to make forecast using EMM methods?

Hi Guy,

Thanks for your help! Yes, we have the coefficient estimated using
EMM. And we followed those papers.

Just want to check my understanding about your suggestion:

Do you mean that after we obtain the estimated coefficients,

we run one simulation to obtain the whole sequence of latent variable
(the volatility time series, from time 0 to time t+1),

where time t is today, and t+1 is tomorrow(one step forecast);

And that's one simulation.

And we run such simulation for N times, let's say N=10000,

and obtain 10000 such volatility time series, each ending at time t+1,

and then we take average of the 10000 data points at t+1,

the average will be the mean-forecast of the volatility tomorrow(i.e.
that's the one step forecast that we want)...

Am I right in doing these procedures?

Thanks

On Thu, Feb 28, 2008 at 4:30 PM, Guy Yollin

EMM: how to make forecast using EMM methods?

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