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help with egarch prediction

hemsam 
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

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Thread (7 messages)

hemsam help with egarch prediction Nov 22 Alexios Ghalanos help with egarch prediction Nov 23 hemsam help with egarch prediction Nov 23 Ulrich Staudinger help with egarch prediction Nov 23 Patrick Burns help with egarch prediction Nov 23 Alexios Ghalanos help with egarch prediction Nov 23 Brian G. Peterson help with egarch prediction Nov 23