[R] predict fGarch doubt

From: Luis Felipe Parra <felipe.parra_at_quantil.com.co>
Date: Thu, 07 Apr 2011 18:10:54 +0800


Hello I am using the predict method in fGarch. I tried to replicate what I supposed it was doing when I estimated an ARMA(2,2)+GARCH(1,1) by doing:

(temp is my ouput form garchFit)
fit = temp_at_fit$par
Nobs = length(temp_at_data)
# Predecir media
  fit["mu"]+sum(fit[2:(2+2-1)]*temp_at_data[length(temp_at_data):(length(temp_at_data )-2+1)]),0)+

    sum(fit[(2+2):(2+2+o2-1)]*temp_at_residuals[length(temp_at_residuals ):(length(temp_at_residuals)-2+1)]),0)

and I got -0.005585084 while the output from the predict method gave me -0.00752829. Does anybody know what might be going on? am I using the wrong slots in the output?

Thank you

Felipe Parra

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