[R] forecasting correlation with Garch

Xavier.Abulker@fimat.com Xavier.Abulker at fimat.com
Mon Jul 29 16:58:30 CEST 2002


Hello R group,
I'm using the tseries package to forecast variance and I would like to do
the same with correlation.
I can't find any way to do that with the function garch().

for example,
I have a matrix of time series

     Date      CACIndex SPXIndex DAXIndex NKYIndex
1        05/01/1998  3072.84   977.07  4384.81  14896.1
2        06/01/1998  3037.73   966.58  4352.63 14896.40
3        07/01/1998  3006.73   964.00  4391.54 15028.17
4        08/01/1998  2954.94   956.05  4347.23 15019.18
5        09/01/1998  2919.81   927.69  4236.94 14995.10....

and I want to predict the correlation matrix,
how can I do that?
Thanks for your help

-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-
r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html
Send "info", "help", or "[un]subscribe"
(in the "body", not the subject !)  To: r-help-request at stat.math.ethz.ch
_._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._



More information about the R-help mailing list