Hi,

First, I would like to report a possible bug in the garchSim function. In 'expanding to whole sample', I think h should be extracted as:

h = c(rev(spec@presample[, 2]), rep(NA, times = n))

That is, the second column in presample should not be raised to the power of delta because it is conditional variance and not conditional sigma as I inferred from the garchSpec function.


Second, I would suggest to slightly alter the definition of 'getting and extending series' in the predict function in the following way:

# Get and Extend Series:
x = c(object@data$data, rep(mu, M))
h = c(object@h.t, rep(omega, M))
z = c(object@residuals, rep(0, M))

In this specification, the repeated values correspond to unconditional means (if there are no arma terms) and the extraction definitions clearer, in my opinion.

Best regards,

Michal Miklovic




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