I have a question regrading EGARCH models. I am partially basing my master thesis on the methodology followed by Brandt & Jones (2012).
you can find it here: https://faculty.fuqua.duke.edu/~mbrandt/papers/published/regarch.pdf
I have two variables, monthly data for returns and the log difference of max and min (log prices) for each underlying month for 1930-2018. My objective is to to forecast the volatility through this range-based EGARCH modelling for each month based on previous data (hence, I would for example like to forecast December's 2015 volatility using the preceding data and disregarding the data of 2016 to 2018).
My problem is that I have yet not fully understood GARCH models in Stata and I would need a little guidance of the necessary steps I should follow.
Thanks in advance :)