[R-SIG-Finance] RUGARCH ugarchfilter

stoyan.stoyanov s.n.stoyanov at gmail.com
Thu Jul 26 18:43:36 CEST 2012

Thanks Alexios,

This clarifies things. Please note that by:

"these are the coefficients I want to be using for forecasting when I have
added a single data point to my series and I am looking for speed"

I never meant that I will be forecasting coefficients. I simply thought
that, in addition to updating the uncmean and uncvariance, the filter
function would correct coefficient estimates, which could then be used in
forecasting the series and its volatility. Now I know that this is not the

I guess manipulating the coefficient estimates in such a way is not trivial
and would require a re-fitting of the model to include the new data points.
In this case, when I am looking for speed, I could simply use a fixed set of
previously estimated parameters, rather than refitting the model at each

Also, thanks for the clarification on the n.old method. It makes more sense


Stoyan Stoyanov
The University of Chicago Booth School of Business
MBA Class of 2013
(312) 532-0120 | stoyanov at chicagobooth.edu
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