Message-ID: <20060217114415.1386.qmail@web33203.mail.mud.yahoo.com>
Date: 2006-02-17T11:44:15Z
From: oliver wee
Subject: function for prediting garch
In-Reply-To: <20060216204728.39488.qmail@web33211.mail.mud.yahoo.com>
> hello,
>
> In my time series data, I was able to successfully
> fit
> its ARIMA model (Box-Jenkins) and its GARCH model
> and
> estimate their parameters. I was also able to
> forecast
> future values of the time series based on my fitted
> ARIMA model using the predict() function call.
>
> However, I'm not sure what is the correct function
> command to call in order to forecast future values
> of
> my time series using both the fitted ARIMA model and
> the fitted GARCH model. Using predict() didn't give
> me
> the result I was looking for. And I can't find any
> documentation using help.search,
>
> I think what I am looking for is akin to the
> garchsim
> and garchpred commands in Mathlab.
>
> Any help is appreciated. Thanks!