[R-SIG-Finance] How to add new data to be predicted with fGarch?

[Michael Weylandt]

I'm not sure what you're trying to do. What should the `newdata`
argument be used for here? (The shocks/innovations, external
regressors, etc.?)

On Tue, Nov 1, 2016 at 4:57 AM, Be Water <bwater at outlook.com> wrote:
> ## R version 3.3.1 (2016-06-21)
> ## Platform: x86_64-w64-mingw32/x64 (64-bit)
> ## Running under: Windows>= 8 x64 (build 9200)
>
> library(fGarch)
>
> ## Data simulation
> set.seed(345)
> ar.sim <- arima.sim(model=list(ar=c(.9,-.2)), n=1000)
> tail(ar.sim)
> plot(ar.sim)
>
> ## Model fit
> model = garchFit( ~ arma(1, 2) + garch(1, 1), Data=ar.sim)
> print(model)
>
> ##QUESTION: How to add new data to be predicted?
> help('predict-methods', pac=fGarch) ## I cannot find any example
>
> newdata <- data.frame(x= -0.3)
> newdata <- -0.3
> predict(model, newdata = newdata, n.ahead=1)
>
> Thanks
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