[R-SIG-Finance] MSE from GARCH forecast

alexios alexios at 4dscape.com
Fri Apr 3 20:08:13 CEST 2009


I am not sure I understand your question:

- the estimated variance is supposed to equal the length of the data, so 
  length(sigma2.hat)==length(data)
- the length of the sigma2.forc was made with ugarchforecast(fit.garch, 
n.ahead=100), i.e. you requested 100 forecast values.

HTH
-Alexios


ahmed_shamiri at yahoo.com wrote:
> 
> 
> Hi every one
>  
> I would like to compute MSE on out of sample forecast from GARCH model. I used rgrach package to obtain the estimated variance (sigma2.hat). then I run an out of sample forecast as
> forc = ugarchforecast(fit.garch, n.ahead=100)
> this will give me 100 observation of sigma.forc( the forecasted values)
> to obtain the MSE theoretically is 
> MSE = 1/h+1 { sum(sigma2.hat – sigma2.forc)^2}
> What confuse me is that the length of sigma2.hat actually is equal to my data length (2000 observation), while the length of sigma2.forc is only 100.
>  
> Can someone kindly enlighten me about this. 
>  
> Sincerely,
>  Shamiri
> 
> 
> 
> 
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