Replication of the Diebold-Mariano forecast prediction test from their 1995 paper, evaluated on stock market volatility
Step 1: Download R file and volatiilty data
Step 2: Open R File, ensure the object "FirstRun" is set to "TRUE" in line 5
Step 3: Set Working Directory in line 39
Step 4: Decide if you would like the code to output data plots with the object "RunPlots" in line 95.
Step 5: Run entire code (takes 12-15 minutes, depending on PC)
Step 6: View "Output" dataframe in R or "DM.Test.Output.All" in Excel
Step 7: Ensure "FirstRun" is set to FALSE after the initial run, to avoid reinstalling packages
Options: To change stocks being considered, edit the included "Volas_long_eng" CSV file