Message-ID: <OF60550E9B.4FC16DC0-ONC1256C05.00519318@fimat-france.fr>
Date: 2002-07-29T14:58:30Z
From: Xavier.Abulker@fimat.com
Subject: forecasting correlation with Garch
Hello R group,
I'm using the tseries package to forecast variance and I would like to do
the same with correlation.
I can't find any way to do that with the function garch().
for example,
I have a matrix of time series
Date CACIndex SPXIndex DAXIndex NKYIndex
1 05/01/1998 3072.84 977.07 4384.81 14896.1
2 06/01/1998 3037.73 966.58 4352.63 14896.40
3 07/01/1998 3006.73 964.00 4391.54 15028.17
4 08/01/1998 2954.94 956.05 4347.23 15019.18
5 09/01/1998 2919.81 927.69 4236.94 14995.10....
and I want to predict the correlation matrix,
how can I do that?
Thanks for your help
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