If I were you, I would think twice of using GARCH for prediction. Time Series models are notorious for their unreliability into the financial quant space, simply due to the stylized fact that even after correcting returns for volatility clustering, the residual ts still exhibits heavy tails. Be cautious!!! In addition, you apply the analysis on returns; preferrably log returns not on prices! Good luck. There is planty of good sources outthere of what you are looking for. -- View this message in context: http://r.789695.n4.nabble.com/Help-GARCH-forecasting-tp3616117p3635285.html Sent from the Rmetrics mailing list archive at Nabble.com.
Help GARCH forecasting
1 message · tonyp