Dear List
how i can predict returns with new data??
Title:
GARCH Modelling
Call:
garchFit(formula.mean = ~arma(2, 0), formula.var = ~garch(1,
1), series = r_peso, cond.dist = "dnorm")
Mean and Variance Equation:
~arma(2, 0) + ~garch(1, 1)
Conditional Distribution:
dnorm
Coefficient(s):
mu ar1 ar2 omega alpha1 beta1
-1.25313e-04 6.10406e-02 -7.06526e-02 2.11754e-06 9.47503e-02 8.45540e-01
Error Analysis:
Estimate Std. Error t value Pr(>|t|)
mu -1.253e-04 1.466e-04 -0.855 0.3925
ar1 6.104e-02 2.765e-02 2.208 0.0272 *
ar2 -7.065e-02 2.785e-02 -2.537 0.0112 *
omega 2.118e-06 1.114e-06 1.902 0.0572 .
alpha1 9.475e-02 2.411e-02 3.929 8.51e-05 ***
beta1 8.455e-01 5.195e-02 16.277 < 2e-16 ***
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Log Likelihood:
-5473.802 normalized: -3.751749
Description:
Thu Sep 07 11:50:50 2006
#######
################## then....############################
meanForecast meanError standardDeviation
1 0.0001657992 0.005873028 0.004574582
2 -0.0002516247 0.005883959 0.004668490
3 -0.0001535909 0.005897073 0.004755100
4 -0.0001181148 0.005897279 0.004835123
5 -0.0001228757 0.005897331 0.004909178
6 -0.0001256727 0.005897333 0.004977807
7 -0.0001255071 0.005897334 0.005041485
8 -0.0001252994 0.005897334 0.005100636
9 -0.0001252984 0.005897334 0.005155636
10 -0.0001253130 0.005897334 0.005206823
######### now if a put newdata it?s the same??, how i can know the returns for the next week if i put the returns of the last week????############
predict(ajuste1,newdata=returns[1451:1460,1])
meanForecast meanError standardDeviation
1 0.0001657992 0.005873028 0.004574582
2 -0.0002516247 0.005883959 0.004668490
3 -0.0001535909 0.005897073 0.004755100
4 -0.0001181148 0.005897279 0.004835123
5 -0.0001228757 0.005897331 0.004909178
6 -0.0001256727 0.005897333 0.004977807
7 -0.0001255071 0.005897334 0.005041485
8 -0.0001252994 0.005897334 0.005100636
9 -0.0001252984 0.005897334 0.005155636
10 -0.0001253130 0.005897334 0.005206823
My best regards Ricardo Z.