Compare forecasts
Hi every body, a) I?should compare the forecast of three model below. Could you help me? ? ?
m1=garchFit(z1~garch(1,1),data=z1,trace=F) f1=predict(m1,n.ahead=6) m2=garchFit(z1~garch(1,1),data=z1,cond.dist='std',trace=F) f2=predict(m2,n.ahead=6) n=ugarchspec(variance.model = list(model = "eGARCH",garchOrder = c(1,1)),mean.model = list(armaOrder = c(0,0), include.mean = TRUE,arfima = F),distribution.model='std')? #same as arfima = F m3=ugarchfit(spec=n, data=z1) f3=ugarchforecast(m3,n.ahead=6)
? b) Also, I want calculateing forecasts for GARCH-M model and then compare to the other. What should I do? (I fitted this model with Tsay' function. I attached it) Please help me. ? ? Thank you?so much, Good luck E. Daadmehr -------------- next part -------------- An HTML attachment was scrubbed... URL: <https://stat.ethz.ch/pipermail/r-sig-finance/attachments/20120623/3785f600/attachment.html> -------------- next part -------------- A non-text attachment was scrubbed... Name: garchM.R Type: application/octet-stream Size: 5351 bytes Desc: not available URL: <https://stat.ethz.ch/pipermail/r-sig-finance/attachments/20120623/3785f600/attachment.obj>