[R-SIG-Finance] ARMA(1,1)-GARCH(1,1) rolling estimation

[mam3xs]

Hi all,

I got the daily stock return data from 2005 - 2008, calculated from HF
minute data. (Thanks to Jeff and Josh).

Now, I set 05 - 07yr as the carlibration period for estimating the
parameters of ARMA(1,1)-GARCH(1,1) model, aqnd leave 08 for backtesting.

So I use the return data observations from 1:760 (yr 05-07) to estimate the
volatility on 2nd-Jan-08 (the position 761),
then use the return data from 1:761 to estimate the vol on 3rd-Jan-08...
1:762...
1:763....
...
...
and so on...

My codes are as follow:

start=length(AA.day.rn['2005-01::2007-12'])
end = length(AA.day.rn)

AA.day.forecast.data = array(0, dim=(end-start))

for (i in start:end) {

    garch.fit <- garchFit(formula = ~arma(1,1)+garch(1,1), data =
AA.day.rn[1:i])
    garch.pred <- predict(garch.fit, n.ahead=1)
    AA.day.forecast.data = garch.pred[,1]

}


Following my design, there should be 193 forecast data, however, when I
checked the object "AA.day.forecast.data", it gives the whole length of the
original data( 953 observations).....
Also, I am not too sure that after the loop function of garch.fit, will
garch.pred catch the right estimation result?

Many thanks.
Mam

P.S Sample data AA.day.rn is attached with this email.
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2008-09-22,0.000373203960293722
2008-09-23,-0.0306900388634124
2008-09-24,0.000384689368083446
2008-09-25,-0.0428272087473931
2008-09-26,-0.0514834707238485
2008-09-29,-0.100862335455926
2008-09-30,0.0497025019311761