[R] re garding Garch prediction mechanism

From: rocky787 <nikhil_it786_at_yahoo.co.in>
Date: Mon, 07 Apr 2008 11:30:58 -0700 (PDT)

Hi,
I am having some confusion.It has been said that we can only estimate the future values using meanForecast +/- 2*standardDeviation. with 95% confidence.This means using this garch model we can only have a upper and lower limit of the values within which the next actual value is expected to lie.Then how come in research papers they plot the actual and predicted value so neatly.The simple problem i am finding is that i am having say 200 data values in time series and say i take 150 values for model parameter estimation.Now what i get in matlab is the mean and variance forecast of 51,52nd etc intervals.Now i need to plot the graph showing the closenes of the predicted and actual return values and not the variance .How can i do so???Plzz help in this regard.Will be of great help

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Received on Mon 07 Apr 2008 - 18:43:10 GMT

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