[R-SIG-Finance] [R-sig-finance] Forecasting GARCH

[Arun.stat]

In my best knowledge prediction for garch process was already discussed in
this forum. Why dont you have some search here?

Best,


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 
> 
>  
> 
>  
> 
>  
> 
>     
> 
>  
> 
> **********************************************************************************************
> IMPORTANT: The contents of this email and any attachments are
> confidential. They are intended for the 
> named recipient(s) only.
> If you have received this email in error, please notify the system manager
> or the sender immediately and do 
> not disclose the contents to anyone or make copies thereof.
> *** SGFC scanned this email for viruses, vandals, and malicious content.
> ***
> **********************************************************************************************
> 	[[alternative HTML version deleted]]
> 
> _______________________________________________
> 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.
> 
> 

-- 
View this message in context: http://www.nabble.com/Forecasting-GARCH-tp25172887p25185941.html
Sent from the Rmetrics mailing list archive at Nabble.com.