Dear researchers
I would like to ask, if there is a way how to make in R (fGarch,tseries,..) EXPOST prediction(quasi future). Correct me, if I am wrong, but the command predict(x,n.ahead) makes EXANTE predictions(true future prediction) only. In contrast with Eviews, where forecast function produces expost results. Another idea, is to divide the testing set into training and validation sets, estimate for example ARMA coefficients for training set and use them with validations set to produce expost predictions. In pseudocode it looks like this:
testing_set (1:100)
training_set(1:90)
validation_set(91:100)
arma_coef<-fit(training_set,~arma(1,1))
expost_prediction<- arma_coef * validation_set
Is this a way how to produce EXPOST predictions, or my approach is completely wrong? I beleive, there is much easier way how to do it in R, but I just cant find the satysfying solution by myself. Thank you any help.
Sincerely Jan