Forecasting GARCH
A valid point...will aim to add this functionality to rgarch over the weekend (at the earliest) by extending the forecast method to accept a specification and data object instead of only a fitted object. -Alexios Ghalanos
Cristian Gonzalez wrote:
Dear All,
I have a question regarding the implementation in R of the paper
"Prediction in dynamic models with time-dependent conditional variance"
by Baillie and Bollerslev, Journal of Econometrics 52 (1992) 91-113.
The idea is to run GARCH in one time series and after that to use
estimators in a new (several) more time series for prediction.
Using R, available packages (fGarch, rGarch, etc.) do not have this
routine. The predict function allows the forecast only of the previous
time series; garchpred(estimation,n.ahead=5)
MATLAB has this routine for a new time series using the garchpred
function; garchpred(coef,newtimeseries,5)
I am working only with R and I would like to continue working without
using other programs. Do you know how I can to do it in R?
Thanks in advance,
Cristian Gonzalez
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