[R] Predict GARCH

[Liviu Andronic]

Hello,

On 6/10/09, Daniel Mail <d2009_ at live.com.pt> wrote:
>  i was trying to predict values for a garch, so i did:
>
>  predict(fitgarch,n.ahead = 20)
>
>  but this doesn't work. Someone can tell me how to get the 20 values ahead of a garch model.
>
You didn't specify what function you used to obtain the GARCH model.
If you use rgarch [1], it provides functions for forecasting
step-ahead values.
Liviu


[1] http://rgarch.r-forge.r-project.org/index.html