[R-SIG-Finance] MSE from GARCH forecast

ahmed_shamiri at yahoo.com ahmed_shamiri at yahoo.com
Sat Apr 4 04:43:35 CEST 2009

Hi Alexios,
First I would like to thank you for such a package (rgarch). I downloaded the package from R-Froge, but it seems it is not updated as u said. However, since you are the right person to ask, may you help to compute the MSE for OUT-OF-SAMPLE forecasts? I am familiar with your package and how to obtain MSE for in-sample forecast. What I meant about the length of sigma2.hat, is that the length of estimated variance (model output) has the same length as my data (model input). However, I my have the wrong formula to obtain MSE.
I appreciate your help and consideration you may give me.

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