[R-SIG-Finance] expanding window forecasting by rugarch nd rmgarch

[alexios ghalanos]

Please do not post more than once (this is your 3rd duplicate post in 24 
hours). Your original email was received this morning and this is an 
open source software mailing list...someone MIGHT reply when they have 
the time and inclination.

If you read the documentation on ugarchrolll (the 'Details' section) it 
explains how the number of periods to forecast are calculated (i.e. 
since 2767 is not divisible by 5 it takes the nearest number divisible 
by 5 less than 2767). If you search previous posts to the mailing list 
you will also find hints as to how to use the function and that it only 
produces forecast to the extend of available out of sample data. For 
more complex setups use ugarchfit+ugarchforecast based on your own 
loop/rolling scheme.

-Alexios

PS Do have the courtesy of signing your emails with your name.

On 21/06/2012 17:11, naval wrote:
> Dear alexios and other R users,
>
> I have the returns data on a firm named "ret" having 2767 observations
> total. I want the one day ahead rollingt forecasts starting from 1001th day
> and model is to be refit every 5 days.
> So my first 5 forecasts (i.e., for the 1001,1002,1003,1004 nd 1005th day)
> will be based on first 1000 observations, next 5 forecasts(i.e., for the
> 1006 to 1010'th day) will be based on first 1005 observations and then next
> 5 days forecast will be based on first 1010 observations and this process
> continues.
> I used following code
>
> spec= ugarchspec(variance.model= list(model = 'gjrGARCH')
> ,mean.model=list(armaOrder= c(0,0),include.mean= FALSE, archpow=2))
> forecast<-ugarchroll(spec=spec,data=mkt_ret,forecast.length=1767,refit.every=5,
> refit.window="recursive")
>   mkt_fcst<- as.data.frame(forecast)
>
> My questions are
> 1)
> I suppose the f_sigma in mkt_fcst dataframe is forecasted volatality  but is
> this the true forecast which I need according to above description of my
> needed forecast
>
> 2) If this f_sigma is the right forecasted vol then why i got only the
> forecasts till 2765 days because next two days forecasts could be based on
> the data till 2765 observations.
>
> 3) Please suggest me how to formulate the right code for my needed forecast
>
> 4) I will do assymetric DCC also using second series on market index
> (mkt_ret) nd would need the DCC forecasts too in the same manner using
> rmgarch.
>
>
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