[R-SIG-Finance] fGarch predict
babel at centrum.sk
babel at centrum.sk
Sat Feb 16 11:55:13 CET 2008
Hello
I want to predict the future values of time series with Garch
When I specified my model like this:
library(fGarch)
ret <- diff(log(x))*100
fit = garchFit(~arma(1,0,0)+garch(1, 1), data =ret)
predict(fit, n.ahead = 10)
meanForecast meanError standardDeviation
1 0.01371299 0.03086350 0.03305819
2 0.01211893 0.03094519 0.03350248
....................................................................................
I know that if I use fit = garchFit(~garch(1, 1), data =ret) I got constant mean, so trherefore I include amra term to move with mean
Iam not sure what values are hiding in this output.
1. Does menForecast hold my future predicted values?
2.Or I am able to just compute the confidence intervals for my prediction like meanForecast +-2*standardDeviation ??
3Or I need to compute the future values like yt=meanForecast+meanError*sqrt(standardDeviation) ???
My return looks like standard return series with plus and minus values,
[748,] 0.008184311
[749,] 0.024548914
[750,] -0.008182302
so I hope I would get similar prediction to this return, not just a postive mean constant.Sorry, I know that Garch models are for volatility modelling, but I still doesnt find how to use that volatility for forecasting future values. Short example with 5 step ahead prediction will surely help.
Thank you
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