[R] function for prediting garch

oliver wee islandboy1982 at yahoo.com
Thu Feb 16 21:47:28 CET 2006


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,

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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