[R] garch prediction

From: fernandito <sheva7.fernando_at_gmail.com>
Date: Mon, 31 Mar 2008 17:10:27 -0700 (PDT)

Hello
I want to predict the future values of time series with Garch When I specified my model like this:
library(fGarch)
ret <- diff(log(x))*100
fit = garchFit(~arma(1,0,0)+garch(1, 1), data =ret) predict(fit, n.ahead = 10)

 meanForecast meanError standardDeviation

1    0.01371299 0.03086350        0.03305819
2    0.01211893 0.03094519        0.03350248
....................................................................................

I know that if I use fit = garchFit(~garch(1, 1), data =ret) I got constant mean, so trherefore I include amra term to move with mean

Iam not sure what values are hiding in this output. 1. Does menForecast hold my future predicted values? 2.Or I am able to just compute the confidence intervals for my prediction like meanForecast +-2*standardDeviation ?? 3Or I need to compute the future values like yt=meanForecast+meanError*sqrt(standardDeviation) ??? My return looks like standard return series with plus and minus values,
[748,] 0.008184311
[749,] 0.024548914
[750,] -0.008182302

so I hope I would get similar prediction to this return, not just a postive mean constant.

thanks??

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Received on Tue 01 Apr 2008 - 00:20:51 GMT

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