Hi, I am trying to find a way where I estimate a Garch moel parameters using rugrach package based on some data set, and use those estimate to estimate conditional SD and predict for some different series. To demonstrate, say I have below data set which to be used for parameter estimation : require(rugarch) data(sp500ret) EstimationData = sp500ret[1000:2000, ,drop = FALSE]; head(EstimationData) fit = ugarchfit(ugarchspec(), EstimationData, solver = 'hybrid') Now I want to estimate conditional SD of ***full dataset** based on the parameters available with 'fit'. I used below : sigma(fit) However it is giving consitional SD for EstimationData only. Can anyone please point me how to achieve that with rugarch? Thanks for your time.
Estimate conditional SD with rugarch package for different series than what used for model estimation
1 message · Paul Maural