[R-SIG-Finance] predict returns with the fSeries package

[Diethelm Wuertz]

Ricardo Zambrano Aguilera wrote:


Ther is no new data! It's like in the Arima case of R!

You model and fit the time series up to the end, and then you start
with your forecast at position n+1. since there can't is be no newdata,
you must get always the same result, as you did.

I hope this helps
Diethelm Wuertz


>Dear List
> how i can predict returns with new data??
> > ajuste1
>
>Title:
> GARCH Modelling 
>
>Call:
> garchFit(formula.mean = ~arma(2, 0), formula.var = ~garch(1, 
>    1), series = r_peso, cond.dist = "dnorm") 
>
>Mean and Variance Equation:
> ~arma(2, 0) + ~garch(1, 1) 
>
>Conditional Distribution:
> dnorm 
>
>Coefficient(s):
>          mu           ar1           ar2         omega        alpha1         beta1  
>-1.25313e-04   6.10406e-02  -7.06526e-02   2.11754e-06   9.47503e-02   8.45540e-01  
>
>Error Analysis:
>         Estimate  Std. Error  t value Pr(>|t|)    
>mu     -1.253e-04   1.466e-04   -0.855   0.3925    
>ar1     6.104e-02   2.765e-02    2.208   0.0272 *  
>ar2    -7.065e-02   2.785e-02   -2.537   0.0112 *  
>omega   2.118e-06   1.114e-06    1.902   0.0572 .  
>alpha1  9.475e-02   2.411e-02    3.929 8.51e-05 ***
>beta1   8.455e-01   5.195e-02   16.277  < 2e-16 ***
>---
>Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1 
>
>Log Likelihood:
> -5473.802    normalized:  -3.751749 
>
>Description:
> Thu Sep 07 11:50:50 2006 
>
>#######
>################## then....############################
>  
>
>>predict(ajuste1)
>>    
>>
>    meanForecast   meanError standardDeviation
>1   0.0001657992 0.005873028       0.004574582
>2  -0.0002516247 0.005883959       0.004668490
>3  -0.0001535909 0.005897073       0.004755100
>4  -0.0001181148 0.005897279       0.004835123
>5  -0.0001228757 0.005897331       0.004909178
>6  -0.0001256727 0.005897333       0.004977807
>7  -0.0001255071 0.005897334       0.005041485
>8  -0.0001252994 0.005897334       0.005100636
>9  -0.0001252984 0.005897334       0.005155636
>10 -0.0001253130 0.005897334       0.005206823
>
>
>
>######### now if a put newdata it´s the same¿?, how i can know the returns for the next week if i put the returns of the last week????############ 
>
>  
>
>>predict(ajuste1,newdata=returns[1451:1460,1])
>>    
>>
>    meanForecast   meanError standardDeviation
>1   0.0001657992 0.005873028       0.004574582
>2  -0.0002516247 0.005883959       0.004668490
>3  -0.0001535909 0.005897073       0.004755100
>4  -0.0001181148 0.005897279       0.004835123
>5  -0.0001228757 0.005897331       0.004909178
>6  -0.0001256727 0.005897333       0.004977807
>7  -0.0001255071 0.005897334       0.005041485
>8  -0.0001252994 0.005897334       0.005100636
>9  -0.0001252984 0.005897334       0.005155636
>10 -0.0001253130 0.005897334       0.005206823
>
>My best regards Ricardo Z.
>
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>
>  
>