Forecasting GARCH

In my best knowledge prediction for garch process was already discussed in
this forum. Why dont you have some search here?

Best,


Cristian Gonzalez wrote:

Dear All,

I have a question regarding the implementation in R of the paper
"Prediction in dynamic models with time-dependent conditional variance"
by Baillie and Bollerslev, Journal of Econometrics 52 (1992) 91-113.

 

The idea is to run GARCH in one time series and after that to use
estimators in a new (several) more time series for prediction.

 

Using R, available packages (fGarch, rGarch, etc.) do not have this
routine. The predict function allows the forecast only of the previous
time series; garchpred(estimation,n.ahead=5)

 

MATLAB has this routine for a new time series using the garchpred
function; garchpred(coef,newtimeseries,5)

 

I am working only with R and I would like to continue working without
using other programs. Do you know how I can to do it in R?

 

Thanks in advance,

Cristian Gonzalez 

 

 

 

    

 

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