[R-SIG-Finance] fSeries GARCH Prediction Questions

Mike Kocurek mikekocurek at gmail.com
Fri Aug 31 20:32:42 CEST 2007


I'm hoping to use the fSeries GARCH modeling to perform multi-period
predictions. However, the predict.fGARCH() function seems to be pretty
sparsely documented. It seems like it's only able to predict from the
end of the training data onwards, not based on new data that I
provide. For example, if I train it on daily data from, say, 1/1/1990
- 12/31/2005, calling predict() will give me predictions starting at
1/1/2006, with (if I'm reading the source right) all subsequent error
terms assumed to be zero. I'd like to be able to pass it an array of
new data to predict over, so that I can use the model to predict, say,
February of 2006 or June of 2000. This seems to be possible if you use
the tSeries library (via the newdata parameter), but not with the
fSeries library (which I need to use, since garchFit() is more robust
than garch()). Besides writing my own GARCH predictor, is there any
way to accomplish this with the provided code? This seems like a very
common thing to do, but I can't seem to find it anywhere. Any help
would be greatly appreciated.


More information about the R-SIG-Finance mailing list