[R-SIG-Finance] help with egarch prediction

[alexios]

As far as rugarch is concerned, the restriction is there for a reason:
It is highly unlikely that the solver will converge with anything less
than 100 points, and even then, what inference you expect to make with 
so little data, let alone confidence to perform a forecast is beyond me 
(the ugarchdistribution function which simulates and fits GARCH models 
given a parameter set, for different window sizes, can be used to better 
understand this point).
Having said that, the software is open source...open it up, see the 
source and make the changes you want (hint: the 15th line of code in the 
file 'rugarch-egarch.R' can be commented out to remove the restriction).

Regards,
Alexios


On 23/11/2011 07:16, hemsam wrote:
> Hi,
>
> Problem : Need to predict the subsequent month vol using the past 30 month
> observations
>
> Tried the rugarch package but there is a limitation which says that you need
> to have atleast 100 observations
>
> In the fGarch package, one has to use OX interface which does not come free
>
> In the egarch package, one can fit an egarch model with less than 100 data
> points but then there is no predict function which helps in forecasting the
> one-step ahead forecast
>
> Appreciate your help and guidance in coming up with a solution for the
> problem
>
> Regards
>
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