Hi Papa,

I've never used an SPA test, so I don't know if it's implemented in R.
 Could you point to an article describing it, or an implementation in
another language?  One idea would be to compare the MAE of your forecast to
the MAE of a naive forecast (where each value in a time-series is predicted
to be the same as the previous value).

Whatever you do, it's probably a good idea to make your comparisons
out-of-sample, and an even better idea to cross-validate.  You can find
some example code for time series cross-validation here and here:
http://robjhyndman.com/researchtips/tscvexample/
http://moderntoolmaking.blogspot.com/2011/12/time-series-cross-validation-3.html

-Zach

On Fri, Jan 20, 2012 at 5:21 AM, Papa Senyo <papa.senyo@yahoo.it> wrote:

>
>
>
>
> Dear all,
> Please, I would like to know if the test for superior predictive
> ability(SPA) is implemented in R
>
> Also how can we get the forecast of volatility of return series. Just an
> information, the SPA compares different forecast and the select the best
> performance measure. Can this be done using rugarch as it only reports MSE,
> MAE, DAC,
> I hope to hearing from you all.
> Kind regards
> Papa
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