Hi, I have two variables, FTSE100 and CPI . Call them Y and X respectively. I want to fit an ARCH(1) to model Y on X. I also intend to predict the values of Y for future (given) values of X. How can I use R for such prediction? Another question is: is there a way I can call an R function which would return me the optimal p for the ARCH(p) model? I have attached the Excel data in case it is required. Thanks, Preetam
Prediction using ARCH
2 messages · Preetam Pal, Patrick Burns
Preetam, You are more likely to want garch than arch. These models are data-hungry, so I'm sceptical that a model with CPI is going to be very good. See for instance: www.portfolioprobe.com/2012/09/20/garch-estimation-on-impossibly-long-series/ This question is really more appropriate for r-sig-finance (you need to subscribe before you can post). Pat
On 15/11/2014 10:23, Preetam Pal wrote:
Hi, I have two variables, FTSE100 and CPI . Call them Y and X respectively. I want to fit an ARCH(1) to model Y on X. I also intend to predict the values of Y for future (given) values of X. How can I use R for such prediction? Another question is: is there a way I can call an R function which would return me the optimal p for the ARCH(p) model? I have attached the Excel data in case it is required. Thanks, Preetam
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