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

[Arun.stat]

Well, please ignore my previous mail. I have misread that. I assumed you are
talking on the garch prediction. However I think that, what you pointed
there should be valid and learned there should this kind of functionality in
R as well.

Best,


Arun.stat wrote:
> 
> 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 
>> 
>>  
>> 
>>  
>> 
>>  
>> 
>>     
>> 
>>  
>> 
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> 

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