I am evaluating different forecasting models and their ability to forecast index volatility during period of market turmoil, using two measurements, Root Mean Square Error and Mean Absolute Error. For the previous evaluated models, ARMA (1,1) as an example, I was able to obtain the residuals and calculate the RMSE quite easily in Stata.
When estimating the GARCH (1,1) model in Stata I am however not able to correctly obtain the residuals in the post estimation procedure, no option to directly obtain the RMSE is available. Perhaps I have misunderstood how one should evaluate the forecasting ability of GARCH models, since the models specifies the conditional variance unlike ARMA which specifies the conditional mean.
Does anyone have a suggestion on how to obtain these evaluation measurements after estimating a GARCH model? And preferably how to do it in Stata.