[R] function for prediting garch

From: oliver wee <islandboy1982_at_yahoo.com>
Date: Fri 17 Feb 2006 - 07:47:28 EST


In my time series data, I was able to successfully fit its ARIMA model (Box-Jenkins) and its GARCH model and estimate their parameters. I was also able to forecast future values of the time series based on my fitted ARIMA model using the predict() function call.

However, I'm not sure what is the correct function command to call in order to forecast future values of my time series using both the fitted ARIMA model and the fitted GARCH model. Using predict() didn't give me the result I was looking for. And I can't find any documentation using help.search,

I think what I am looking for is akin to the garchsim and garchpred commands in Mathlab.

Any help is appreciated. Thanks!

R-help@stat.math.ethz.ch mailing list
https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html Received on Fri Feb 17 08:30:54 2006

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