[R-SIG-Finance] Forecasting GARCH

[alexios]

A valid point...will aim to add this functionality to rgarch over the 
weekend (at the earliest) by extending the forecast method to accept a 
specification and data object instead of only a fitted object.

-Alexios Ghalanos

Cristian Gonzalez wrote:
> Dear All,
> 
> I have a question regarding the implementation in R of the paper
> "Prediction in dynamic models with time-dependent conditional variance"
> by Baillie and Bollerslev, Journal of Econometrics 52 (1992) 91-113.
> 
>  
> 
> The idea is to run GARCH in one time series and after that to use
> estimators in a new (several) more time series for prediction.
> 
>  
> 
> Using R, available packages (fGarch, rGarch, etc.) do not have this
> routine. The predict function allows the forecast only of the previous
> time series; garchpred(estimation,n.ahead=5)
> 
>  
> 
> MATLAB has this routine for a new time series using the garchpred
> function; garchpred(coef,newtimeseries,5)
> 
>  
> 
> I am working only with R and I would like to continue working without
> using other programs. Do you know how I can to do it in R?
> 
>  
> 
> Thanks in advance,
> 
> Cristian Gonzalez 
> 
>  
> 
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> 
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