[R] re garding Garch prediction mechanism
rocky787
nikhil_it786 at yahoo.co.in
Mon Apr 7 20:30:58 CEST 2008
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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