Message-ID: <1340483353.87029.YahooMailNeo@web121401.mail.ne1.yahoo.com>
Date: 2012-06-23T20:29:13Z
From: Elham Daadmehr
Subject: 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
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