[R-SIG-Finance] Rugarch package using external regressors, a forecasting doubt

Diego Ignacio Acuña Rozas diego.acuna at usm.cl
Thu Jun 25 22:11:51 CEST 2015

Hi all, I'm using the rugarch package (which is btw an excellent piece of software). I'm 

using the A-PARCH(1,1) model with an external regressor (the Yang-Zhang
volatility proxy) and I've a doubt about how to perform forecasting
using the model:

  * Suppose I've n observations for the returns of a financial serie and
for the external regressor
  * Then, I use ugarchspec with an A-PARCH(0,1) model with the external
regressor, the ugarchspec and ugarchfit steps work pretty well.
  * Now I want to do forecasting. I don't quite fully understand the
limitation of this process. When I use ugarchforecast, the main
limitation is that I only can forecast 1-step ahead due to the external
regressor data limitation (I don't have more than n data for the
external regressor)???

Now, if I fit a model with the n external regressor data and if I do a
1-step ahead forecast for t+1, then the next day I recieve new data for
the external regressor, how to use the rugarch package to use this new
data and generate a new 1-step ahead forecast from t+1 to t+2? is this

Thanks in advance, I've read a lot of the rugarch documentation and from this mailing list, but I'm a bit lost regarding to my doubts. 

Any help will be really appreciated.


Diego Ignacio Acuña Rozas
Mg. (c) Ciencias de la Ingeniería Informática
Universidad Técnica Federico Santa María

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