Hello I want to predict the future values of time series with Garch When I specified my model like this: library(fGarch) ret <- diff(log(x))*100 fit = garchFit(~arma(1,0,0)+garch(1, 1), data =ret) predict(fit, n.ahead = 10)
meanForecast meanError standardDeviation 1 0.01371299 0.03086350 0.03305819 2 0.01211893 0.03094519 0.03350248 .................................................................................... I know that if I use fit = garchFit(~garch(1, 1), data =ret) I got constant mean, so trherefore I include amra term to move with mean Iam not sure what values are hiding in this output. 1. Does menForecast hold my future predicted values? 2.Or I am able to just compute the confidence intervals for my prediction like meanForecast +-2*standardDeviation ?? 3Or I need to compute the future values like yt=meanForecast+meanError*sqrt(standardDeviation) ??? My return looks like standard return series with plus and minus values, [748,] 0.008184311 [749,] 0.024548914 [750,] -0.008182302 so I hope I would get similar prediction to this return, not just a postive mean constant. thanks?? -- View this message in context: http://www.nabble.com/garch-prediction-tp16400909p16400909.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
