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Getting forecast values using DCC GARCH fit

1 message · Dhivya Narayanasamy

#
Hi,
I am trying to fit a multivariate time series model using DCC GARCH model
and forecast it.

The data looks like this:
x   vibration_x     Speed
1 2017-05-16 17:53:00      -0.132  421.4189
2 2017-05-16 17:54:00      -0.296 1296.8882
3 2017-05-16 17:55:00      -0.572    0.0000
4 2017-05-16 17:56:00      -0.736 1254.2695
5 2017-05-16 17:57:00       0.000    0.0000
6 2017-05-16 17:58:00       0.000    0.0000
variance.model = list(garchOrder = c(1,1),
                                          model = "sGARCH"),
distribution.model = "norm")
),
                  dccOrder = c(1,1), distribution = "mvnorm")
fit.control = list(eval.se=T))
May I know how to get the forecast values from 'dcc.focast' ?  I have given
500 as n.roll in rolling forecast. I mean where to find this 500 forecast
values? Any help is much appreciated as I am new to GARCH model.

Also when i plot the forecast model
The graph shows weird x axis values starting from 2050 year. Is the graph
showing the forecast values? I have attached the graph as well for your
reference. Thanks in advance.





Regards| Mit freundlichen Gr??en,