help with egarch prediction
As far as rugarch is concerned, the restriction is there for a reason: It is highly unlikely that the solver will converge with anything less than 100 points, and even then, what inference you expect to make with so little data, let alone confidence to perform a forecast is beyond me (the ugarchdistribution function which simulates and fits GARCH models given a parameter set, for different window sizes, can be used to better understand this point). Having said that, the software is open source...open it up, see the source and make the changes you want (hint: the 15th line of code in the file 'rugarch-egarch.R' can be commented out to remove the restriction). Regards, Alexios
On 23/11/2011 07:16, hemsam wrote:
Hi, Problem : Need to predict the subsequent month vol using the past 30 month observations Tried the rugarch package but there is a limitation which says that you need to have atleast 100 observations In the fGarch package, one has to use OX interface which does not come free In the egarch package, one can fit an egarch model with less than 100 data points but then there is no predict function which helps in forecasting the one-step ahead forecast Appreciate your help and guidance in coming up with a solution for the problem Regards -- View this message in context: http://r.789695.n4.nabble.com/help-with-egarch-prediction-tp4098716p4098716.html Sent from the Rmetrics mailing list archive at Nabble.com.
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