[R-SIG-Finance] MSE from GARCH forecast

[alexios]

I have now preliminarily added some forecast performance measures (incl. 
mse, rmse etc) to the package which should be available to download from 
r-forge during the next build cycle (see the example in the 
ugarchforecast help).
regards,
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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