[R] re garding Garch prediction mechanism
spencer.graves at pdf.com
Tue Apr 8 18:12:42 CEST 2008
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
In particular, I suggest you use a published data set from a
package like tseries, fEcofin, or FinTS. If you want to compare results
with Matlab, please provide code you used in both R and Matlab, along
with an explanation of which versions of each you used including any
add-on packages. For R, you can get this version information with
'sessionInfo()'. Please include comparable information from Matlab.
Without this, it is usually more difficult for someone to
understand your question, and any answers are less likely to help you.
Hope this helps.
> 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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