Hi Jun,

Please address the list in future, not me individually (hopefully someone else might contribute some answers eventually).

From the documentation of ‘uGARCHforecast-class’:

"The fpm method returns the Mean Squared Error (MSE), Mean Absolute Error (MAE), Directional Accuracy (DAC) and number of points used for the calculation (N), of forecast versus realized returns, if the extra summary option is set to TRUE (default). This is a 4 x (n.roll+1) matrix, with row headings the T[0] time index, and requires at least 5 points to calculate the summary measures else will return NA. When n.ahead>1, this method calculates the measures on the n.ahead>1 unconditional forecast, but if n.ahead=1 with n.roll>4, it will calculate the measures on the rolling forecast instead. Finally, when summary is set to FALSE, the method will return a list of length n.roll+1 of xts objects with the loss functions (Squared Error and Absolute Error and Directional Hits).”

I don’t believe there is any mention of “actual” sigma in the method for fpm.


-Alexios

On 22 Jun 2014, at 18:16, jun wang <junluke@gmail.com> wrote:

> Hi, Alexios, 
> 
> I had a question on the out of sample test for sigma in the rugarch package.
> I am using the 'fpm' function to test the forecasting performance. How do you calculate the "actual" sigma in the "fpm" function? 
> 
> Many thanks,
> Jun
> 


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