[R-SIG-Finance] Preparing data for Superior predictive ability (SPA) test

[Karthik Raju]

Hello,

Can anyone please let me know how to prepare data to compute Superior 
predictive ability (SPA) test in R?

I am working on forecasting volatility in stock markets, the context is,

1) I used "rugarch" package to forecast the volatility using "n" 
autoregressive models.

3) Extracted "sigma" values from the forecasts of those "n" models and 
used it in a worksheet against realized volatility to calculate daily 
loss functions for each model, say, MSE, MAE, RMSE etc.

3) I want to compute the SPA test statistics using "ttrTests" package 
and find the SPA test p-values for a benchmark model against "n" 
alternatives. How to prepare data for this purpose?

Thanks,
Karthik