[R-SIG-Finance] MSE from GARCH forecast

alexios alexios at 4dscape.com
Sat Apr 4 01:34:18 CEST 2009

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).

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
> _______________________________________________
> R-SIG-Finance at stat.math.ethz.ch mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only.
> -- If you want to post, subscribe first.

More information about the R-SIG-Finance mailing list