[R-SIG-Finance] Estimate conditional SD with rugarch package for different series than what used for model estimation

[Paul Maural]

Hi,

I am trying to find a way where I estimate a Garch moel parameters
using rugrach package based on some data set, and use those estimate
to estimate conditional SD and predict for some different series.

To demonstrate, say I have below data set which to be used for
parameter estimation :

require(rugarch)
data(sp500ret)

EstimationData = sp500ret[1000:2000, ,drop = FALSE]; head(EstimationData)

fit = ugarchfit(ugarchspec(), EstimationData, solver = 'hybrid')

Now I want to estimate conditional SD of ***full dataset** based on
the parameters available with 'fit'. I used below :

sigma(fit)

However it is giving consitional SD for EstimationData only.

Can anyone please point me how to achieve that with rugarch?

Thanks for your time.