[R] ARMA(1,1)-GARCH(1,1) rolling estimation question

[mam3xs]

Hi all,

I got the daily stock return data from 2005 - 2008, calculated from HF
minute data. (Thanks to Jeff and Josh).

Now, I set 05 - 07yr as the carlibration period for estimating the
parameters of ARMA(1,1)-GARCH(1,1) model, aqnd leave 08 for backtesting.

So I use the return data observations from 1:760 (yr 05-07) to estimate the
volatility on 2nd-Jan-08 (the position 761),
then use the return data from 1:761 to estimate the vol on 3rd-Jan-08...
1:762...
1:763....
...
...
and so on...

My codes are as follow:

start=length(AA.day.rn['2005-01::2007-12'])
end = length(AA.day.rn)

AA.day.forecast.data = array(0, dim=(end-start))

for (i in start:end) {

    garch.fit <- garchFit(formula = ~arma(1,1)+garch(1,1), data =
AA.day.rn[1:i])
    garch.pred <- predict(garch.fit, n.ahead=1)
    AA.day.forecast.data = garch.pred[,1]

}


Following my design, there should be 193 forecast data, however, when I
checked the object "AA.day.forecast.data", it gives the whole length of the
original data( 953 observations).....
Also, I am not too sure that after the loop function of garch.fit, will
garch.pred catch the right estimation result?

Many thanks.
Mam

P.S Sample data AA.day.rn is attached with this email.
-------------- next part --------------
2005-01-03,-0.0160003413464409
2005-01-04,-0.0162605208717803
2005-01-05,-0.00789997525315611
2005-01-06,0.00789997525315611
2005-01-07,0.0162605208717803
2005-01-10,-0.026476460766399
2005-01-11,-0.0180486182750128
2005-01-12,-0.00744756319835327
2005-01-13,0.000679347852214462
2005-01-14,0.0151645702990448
2005-01-18,-0.00570184338663404
2005-01-19,-0.0197017242135051
2005-01-20,-0.0113853222251254
2005-01-21,0.0106989803999675
2005-01-22,0
2005-01-24,-0.0110460218749062
2005-01-25,-0.0143334039292768
2005-01-26,0.00841519692528436
2005-01-27,0.0142141412054757
2005-01-28,-0.00275767151666129
2005-01-31,0.0184683771735892
2005-02-01,0.00169290712515258
2005-02-02,-0.00271002875886506
2005-02-03,-0.0116002665540771
2005-02-04,0.00786194444347021
2005-02-07,0.00847606362912368
2005-02-08,0.0127475728225028
2005-02-09,-0.0253178079842900
2005-02-10,0.00749322307173772
2005-02-11,0.0131469953614411
2005-02-14,0.00334336653797429
2005-02-15,-0.00468384931242616
2005-02-16,0.0264740808929451
2005-02-17,0.0133010882307514
2005-02-18,-0.00743978848075999
2005-02-22,-0.00292635552679821
2005-02-23,0.00907623734692597
2005-02-24,0.0131433211145509
2005-02-25,0.00729814440334975
2005-02-28,0.0119423166642143
2005-03-01,-0.0113102053915863
2005-03-02,-0.0111200510440779
2005-03-03,-0.000639181868997252
2005-03-04,0.0164873741090208
2005-03-07,-0.0142520227072014
2005-03-08,-0.00415535199164374
2005-03-09,-0.00836286636575956
2005-03-10,-0.0156253179030807
2005-03-11,0.0169164736667007
2005-03-14,0.00578965914448437
2005-03-15,0.0130637511843630
2005-03-16,-0.00666986750910725
2005-03-17,0.0057197486727869
2005-03-18,0.00347936457287501
2005-03-21,-0.00665296292041662
2005-03-22,-0.0160208489086053
2005-03-23,-0.0185824417928244
2005-03-24,-0.000987654401272575
2005-03-28,-0.0102632915462126
2005-03-29,-0.0161023271168310
2005-03-30,0.0110981465322548
2005-03-31,0.0198682032167254
2005-04-01,-0.00756956057973879
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2005-04-06,0.0253511518765257
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2005-04-08,0.00540284168233596
2005-04-11,-0.0121174952079768
2005-04-12,0.00480077734335671
2005-04-13,-0.0298142627104263
2005-04-14,-0.0162497357703191
2005-04-15,-0.0114325387774712
2005-04-18,0.00101402746562895
2005-04-19,-0.0101868453069929
2005-04-20,-0.0137459209046353
2005-04-21,0.0202096277087982
2005-04-22,-0.00988251355294878
2005-04-25,0.0081855845864398
2005-04-26,-0.0198977405149510
2005-04-27,-0.0045146803545264
2005-04-28,-0.00558465674851671
2005-04-29,0.0156280312133603
2005-05-02,0.0058409374099817
2005-05-03,0.00376133115699817
2005-05-04,0.00544589501146264
2005-05-05,-0.00374086476037894
2005-05-06,-0.00102266925565475
2005-05-09,0.00102266925565475
2005-05-10,-0.0293884589995006
2005-05-11,-0.00316289140850845
2005-05-12,-0.0307386602671729
2005-05-13,-0.0332133849870702
2005-05-16,-0.00150206562225552
2005-05-17,0.0222974678055570
2005-05-18,0.0232484135781381
2005-05-19,-0.00648417257445821
2005-05-20,-0.00689032644468623
2005-05-23,0.00941694753253675
2005-05-24,-0.0101450145468602
2005-05-25,-0.0109850976493298
2005-05-26,0.00660552860530839
2005-05-27,0.00437956904402137
2005-05-31,-0.0131966724541699
2005-06-01,0.0208150659131796
2005-06-02,0.00324734183976894
2005-06-03,-0.0156111356986273
2005-06-06,0
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2005-06-08,0.00109950533341729
2005-06-09,-0.0121615650392757
2005-06-10,0.00480859073401652
2005-06-13,0.0110092855083694
2005-06-14,-0.00585653211271309
2005-06-15,0.0116789648641462
2005-06-16,0.0129778317487141
2005-06-17,0.0170458672729885
2005-06-20,-0.0138275558951433
2005-06-21,-0.00752556857542563
2005-06-22,-0.00396468351372103
2005-06-23,-0.0152841403253734
2005-06-24,-0.0301530381706874
2005-06-27,-0.0140820595381728
2005-06-28,0.0144599170903730
2005-06-29,-0.00644307705529101
2005-06-30,-0.00380952841666771
2005-07-01,-0.00229270257097536
2005-07-05,0.00229270257097536
2005-07-06,-0.00574164256767506
2005-07-07,0.0298755439041050
2005-07-08,0.0151602090057721
2005-07-11,0.0214203143569658
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2005-07-19,0.0157765911196059
2005-07-20,0.0151812271302498
2005-07-21,0.00314850706133329
2005-07-22,-0.000698812048005149
2005-07-25,-0.00877660539809177
2005-07-26,-0.00317852995842793
2005-07-27,-0.00425381711979966
2005-07-28,0.0148098616569823
2005-07-29,-0.0183685842739760
2005-08-01,-0.00500358442047455
2005-08-02,0.0300004853046150
2005-08-03,-0.00208841008727045
2005-08-04,-0.0211275464258756
2005-08-05,-0.0128941614530147
2005-08-08,0.0107566472797043
2005-08-09,0.0208230569436343
2005-08-10,0.00834787456481978
2005-08-11,0.0303622162900474
2005-08-12,-0.00134499011533284
2005-08-15,-0.0245243898630840
2005-08-16,0.00241088458431049
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2005-08-19,0.00106818596590896
2005-08-22,0.00921012532422694
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2005-08-24,-0.0105321474744819
2005-08-25,0.00291651683219563
2005-08-26,-0.00657416538693534
2005-08-29,0.00693813263390153
2005-08-30,-0.0176216013498194
2005-08-31,-0.00371057939653596
2005-09-01,0.0107229720365862
2005-09-02,-0.0099797538678521
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2005-09-09,0.0157720130093018
2005-09-12,0.0103781509687138
2005-09-13,-0.0118695755553837
2005-09-14,-0.0074906717291574
2005-09-15,-0.00830506849848511
2005-09-16,0.0210060236930496
2005-09-19,-0.0202481608299476
2005-09-20,-0.00607904607638243
2005-09-21,-0.00841949099152872
2005-09-22,-0.0610090154402338
2005-09-23,-0.0024539889615669
2005-09-26,-0.00904983551991778
2005-09-27,-0.00788222292947882
2005-09-28,0.00249584156181859
2005-09-29,0.00951009855152218
2005-09-30,0.00492611833605583
2005-10-03,-0.0227800283318200
2005-10-04,-0.0198864179870828
2005-10-05,-0.0150702529209981
2005-10-06,-0.00609227297725345
2005-10-07,0.0065260183755087
2005-10-10,0.00605276383135145
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2005-11-02,0.00162074589773331
2005-11-03,0.0172591079215692
2005-11-04,0.00159045759172383
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2005-12-14,0.00669134386062487
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2005-12-16,0.000708717251492796
2005-12-19,0.0112716938366213
2005-12-20,-0.0087951314528274
2005-12-21,0.0216715926413720
2005-12-22,0.0140774856987957
2005-12-23,0.00577938035641479
2005-12-27,-0.00782716264197969
2005-12-28,0.0118867081358580
2005-12-29,0.00101231660408185
2005-12-30,-0.0027017915793488
2006-01-03,0.007748059646973
2006-01-04,0.00901960348907904
2006-01-05,0.00794969406927404
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2006-07-05,0.00992340123372681
2006-07-06,0.00388234025044287
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2006-07-11,-0.0084812821885154
2006-07-12,0.0109805024834442
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2006-07-17,-0.0183611715661396
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2006-07-19,0.0185703332994493
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2006-08-24,-0.00902783909276517
2006-08-25,0.00729803412934693
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2006-09-05,-0.00379900301492642
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2006-10-06,0.00614718985097973
2006-10-09,0.0146719396990140
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2006-10-11,0.0138139213639850
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2006-10-16,0.0306466664786029
2006-10-17,0.00181653092639777
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2006-10-19,0.00291015119897642
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2006-10-25,0.00216294244382098
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2008-09-26,-0.0514834707238485
2008-09-29,-0.100862335455926
2008-09-30,0.0497025019311761