This is taken directly from the documentation.  In order to effectively use
the mailing list, you need to be able to articulate your problems more
specifically.  Please read the posting guide and all the package
documentation/vignettes before asking a question.  Your questions also need
to include *reproducible* code.  It is practically impossible to help you
unless you follow these steps.

data(sp500ret)
ctrl = list(rho = 1, delta = 1e-9, outer.iter = 100, tol = 1e-7)
spec = ugarchspec(variance.model = list(model = "sGARCH", garchOrder =
c(1,1)), mean.model = list(armaOrder = c(0,0), include.mean = TRUE),
distribution.model = "std")
sp500.bktest = ugarchroll(spec, data = sp500ret, n.ahead = 1,
forecast.length = 100, refit.every = 25, refit.window = "recursive", solver
= "solnp", fit.control = list(), solver.control = ctrl, calculate.VaR =
TRUE, VaR.alpha = c(0.01, 0.025, 0.05))


On Tue, Jan 31, 2012 at 8:49 AM, Papa Senyo <papa.senyo@yahoo.it> wrote:

> Please, can you just cite an example via mail to me may a reproducible
> one. Kindly hope to hearing from you soon.
> Kind regards
> Papa
>
>   ------------------------------
> *Da:* Robert Harlow <rharlow86@gmail.com>
> *A:* Papa Senyo <papa.senyo@yahoo.it>
> *Cc:* "r-sig-finance@r-project.org" <r-sig-finance@r-project.org>
> *Inviato:* Martedė 31 Gennaio 2012 14:30
> *Oggetto:* Re: [R-SIG-Finance] Forecasting
>
> ?ugarchroll
>
> Change the n.ahead parameter in the function.  You can specify whether
> there is a mean model or not with ugarchspec.  Follow the the example
> provided in the ugarchroll example, and then explore the resultant object
> (called sp500.bktest).
>
>
> On Tue, Jan 31, 2012 at 7:36 AM, Papa Senyo <papa.senyo@yahoo.it> wrote:
>
> Dear All,
> Please, using the Rugarch package, I would like to have information on how
> one could carry out, 1-day ahead, 5-day ahead, 10 day ahead with rolling
> windows. Also I would like to know if the forecast is for the mean or
> variance since I am interested in forecasting volatility. If my best my
> consist of insignificant estimate for instance only \beta is insignificant
> a GARCH type model , is that okay.
> Hope to hearing from you all.
> Kind regards
> Papa
>        [[alternative HTML version deleted]]
>
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>
>
>

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