Re: [R] function for prediting garch

From: Kjetil Brinchmann Halvorsen <kjetilbrinchmannhalvorsen_at_gmail.com>
Date: Sat 18 Feb 2006 - 00:30:14 EST

oliver wee wrote:
> hello,
>
> 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,

You should have given reproducible code!

In my understanding, (g)arch is applied to an uncorrelated series without autocorrelastions, as the residuals from a properly estimated ARIMA model. So to get the predictions for the original series, you need to

1) predict with the ARIMA model
2) estimate a garch model to the residuals
3) predict the residuals
4) modify the prediction from 1) with the prediction from 3)

Kjetil

>
> I think what I am looking for is akin to the garchsim
> and garchpred commands in Mathlab.
>
> Any help is appreciated. Thanks!
>
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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 Sat Feb 18 00:34:11 2006

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