[R] Prediction using ARCH

Patrick Burns pburns at pburns.seanet.com
Sat Nov 15 12:41:49 CET 2014


You are more likely to want garch than

These models are data-hungry, so I'm
sceptical that a model with CPI is going
to be very good.  See for instance:


This question is really more appropriate
for r-sig-finance (you need to subscribe
before you can post).


On 15/11/2014 10:23, Preetam Pal wrote:
> Hi,
> I have two variables, FTSE100 and CPI . Call them Y and X respectively.
> I want to fit an ARCH(1) to model Y on X. I also intend to predict the
> values of Y for future (given) values of X. How can I use R for such
> prediction?
> Another question is: is there a way I can call an R function which would
> return me the optimal p for the ARCH(p)  model?
> I have attached the Excel data in case it is required.
> Thanks,
> Preetam
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Patrick Burns
pburns at pburns.seanet.com
twitter: @burnsstat @portfolioprobe
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