function for prediting garch
oliver wee wrote:
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,
You should have given reproducible code! In my understanding, (g)arch is applied to an uncorrelated series without autocorrelastions, as the residuals from a properly estimated ARIMA model. So to get the predictions for the original series, you need to 1) predict with the ARIMA model 2) estimate a garch model to the residuals 3) predict the residuals 4) modify the prediction from 1) with the prediction from 3) Kjetil
I think what I am looking for is akin to the garchsim and garchpred commands in Mathlab. Any help is appreciated. Thanks!
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