[R-SIG-Finance] rugarch bug or my mistake?

[travisgleith .]

This is my first post to this mailing list so I apologize if I am out of
order here.

I tried to ask this question on an online forum but got shot down
<https://stats.stackexchange.com/questions/457924/is-this-a-bug-in-rugarch-or-is-the-forecast-supposed-to-conceal-the-first-forec?noredirect=1#comment849108_457924>

library(magrittr)
library(rugarch)
data = c(0.00448915878069781,-0.00593011429139564,-0.00521660375977179,0.00915792713276595,0.0281576105073823,0.00312671172731763,0.00354620561645788,-0.0116968104863564,0.00885293595922043,0.0107479700328324,-0.00286887922892909,-0.0157860645324253,-0.00034496291769634,0.00834156289619709,-0.0118426954076351,-0.0245429072803506,0.00920654078852251,-0.0194853526917377,0.0101437726804425,0.0121099494070556,0.0035482064346366,-0.00229786350435077,-0.00733982114587459,-0.00459640558705143,-0.012915903683943,-0.019073989784277,0.0126645393062962,0.00721493361382838,0.00999175394461038,0.0133412046238938,0.00648737743848443,-0.00562686238554141,-0.00330281416051201,0.00799100742663728,0.000663186933227922,0.0148432054223313,0.00196669935473182,-0.000615357170258429,0.00113636710367157,-0.0194719951587255,0.0169620174351603,-0.0131164201273478,-0.0135647068283389,-0.00438317321680465,-0.0147236772598623,0.00448073182498596,-0.00388037967044466,0.0258503616763401,0.00971753055430585,-0.00790819347457519,-0.00755558584805335,-0.0171629980145799,0.0107626388061985,-0.0105764253253602,-0.00728398157712776,-0.00098385324839817,0.00401832316660708,-0.00123931628811594,0.0117077717740899,0.017917887402996,0.010911835646347,-0.00827245645002914,-0.00906077086137638,-0.0205094556293795,-0.00737675894931045,-0.00690210266337801,0.020337194824323,0.00700174492576033,0.000228651273513847,-0.0143788420968017,0.013170014653836,-0.0041840803265823,-0.00998018021662783,-0.00773937960715987,0.0150502886036981,-0.00281352468848173,-0.0106468266964306,0.00603505797098974,0.00448080249830074,0.00828145475545461,0.000440945562519113,-0.0100964576962305,-0.00160882489466677,-0.000137141351361142,0.00954377280816113,0.00208528678239533,0.0209006426760515,0.00156626715014618,-0.00691347744367798,-0.00860724032017463,0.0110129635734199,0.00446238531960588,-0.0112374698383101,-0.0276009587172153,0.000631167643944636,0.000455412294070562,-0.000428413112601861,-0.00468012712974619,-0.0132383598723957,0.0272178690714789,0.0346151554938807,0.00428132065168324,-0.0135193549155817,-0.0161119996079523)

m_g_spec = ugarchspec(
  mean.model = list(
    armaOrder = c(1,2)
    , include.mean = T
    , archm = F
    , arfima = F
  )
  , distribution.model = "norm"
  , variance.model = list(model = "sGARCH", garchOrder = c(1,1)))

m_g_fit = ugarchfit(m_g_spec, data, solver = "hybrid")
f = ugarchforecast(m_g_fit)
plot(f, which = 1)

f using model$modeldata$data %>% tail(1) %>% {abline(h = .)}
f using forecast$seriesFor[1] %>% {abline(h = ., col = "red")}

The above code generates a chart.
The black horizontal line shows the last value of the input data. The red
line shows the first value of the forecast. Where did the last value in the
blue series come from? The blue series is supposed to show actual data, but
this last value is not in the input data. It seems to be the first forecast
value but it is not given in the forecast object. Any idea what is going
on?

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