But that is not what you asked in your original email!

The 'fpm' method (I assume this is what you refer to as 'report') 
returns some summary
forecast performance measures on the fitted return series AND assuming 
you have used
the out.sample option in the fit routine (the 'fpm' requires at least 6 
out.sample points to
compute the statistics). Because forecasts can be a combination of both 
rolling and unconditional
type, the extractor methods (as.array, as.data.frame etc) have a host of 
options to indicate
what exactly you want to extract from the object. If you go through the 
tests in the 'inst' folder
of the source package, you will see many examples of how this works.

Finally, it would not be possible to return such measures on the 
volatility as that is not observed (although
you could very roughly proxy it with abs or squared returns...).
However, if you have your own realized volatility series then surely it 
is quite simple to compute
those yourself.

Alexios

On 06/02/12 13:35, Papa Senyo wrote:
> Please, keep in mind that I have cannot do anything without the 
> documentation. It is a nice package and trying to know the nitty 
> gritty  of it. There is a forecast for GARCH model and also the report 
> on the loss functions. What i really want to understand is if the loss 
> function are calculated based on the volatility or the mean returns.
> kind regards,
> papa
>
> ------------------------------------------------------------------------
> *Da:* alexios <alexios@4dscape.com>
> *A:* Papa Senyo <papa.senyo@yahoo.it>
> *Cc:* "r-sig-finance@r-project.org" <r-sig-finance@r-project.org>
> *Inviato:* Lunedė 6 Febbraio 2012 13:45
> *Oggetto:* Re: [R-SIG-Finance] Volatility forecast
>
> By reading the documentation.
> Alexios
>
> On 06/02/2012 12:42, Papa Senyo wrote:
> > Dear ALL,
> > Please, how does one get volatility forecast using rugarch package?
> > kind regards
> > Papa
> >     [[alternative HTML version deleted]]
> >
> > _______________________________________________
> > R-SIG-Finance@r-project.org <mailto:R-SIG-Finance@r-project.org> 
> mailing list
> > https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> > -- Subscriber-posting only. If you want to post, subscribe first.
> > -- Also note that this is not the r-help list where general R 
> questions should go.
> >
>
>
>


	[[alternative HTML version deleted]]

