How to add new data to be predicted with fGarch?
I'm not sure what you're trying to do. What should the `newdata` argument be used for here? (The shocks/innovations, external regressors, etc.?)
On Tue, Nov 1, 2016 at 4:57 AM, Be Water <bwater at outlook.com> wrote:
## R version 3.3.1 (2016-06-21)
## Platform: x86_64-w64-mingw32/x64 (64-bit)
## Running under: Windows>= 8 x64 (build 9200)
library(fGarch)
## Data simulation
set.seed(345)
ar.sim <- arima.sim(model=list(ar=c(.9,-.2)), n=1000)
tail(ar.sim)
plot(ar.sim)
## Model fit
model = garchFit( ~ arma(1, 2) + garch(1, 1), Data=ar.sim)
print(model)
##QUESTION: How to add new data to be predicted?
help('predict-methods', pac=fGarch) ## I cannot find any example
newdata <- data.frame(x= -0.3)
newdata <- -0.3
predict(model, newdata = newdata, n.ahead=1)
Thanks
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