Hi,
I am trying to fit a multivariate time series model using DCC GARCH model
and forecast it.
The data looks like this:
> head(datax)
x vibration_x Speed
1 2017-05-16 17:53:00 -0.132 421.4189
2 2017-05-16 17:54:00 -0.296 1296.8882
3 2017-05-16 17:55:00 -0.572 0.0000
4 2017-05-16 17:56:00 -0.736 1254.2695
5 2017-05-16 17:57:00 0.000 0.0000
6 2017-05-16 17:58:00 0.000 0.0000
> garch11.spec = ugarchspec(mean.model = list(armaOrder = c(1,1)),
variance.model = list(garchOrder = c(1,1),
model = "sGARCH"),
distribution.model = "norm")
> dcc.garch11.spec = dccspec(uspec = multispec( replicate(2, garch11.spec)
),
dccOrder = c(1,1), distribution = "mvnorm")
> fit.a = dccfit(dcc.garch11.spec, data = datax[,c(2,3)], out.sample = 500,
fit.control = list(eval.se=T))
> dcc.focast=dccforecast(fit.a, n.ahead = 1, n.roll = 499)
May I know how to get the forecast values from 'dcc.focast' ? I have given
500 as n.roll in rolling forecast. I mean where to find this 500 forecast
values? Any help is much appreciated as I am new to GARCH model.
Also when i plot the forecast model
> plot(dcc.focast, which = 1)
The graph shows weird x axis values starting from 2050 year. Is the graph
showing the forecast values? I have attached the graph as well for your
reference. Thanks in advance.
Regards| Mit freundlichen Grüßen,
> Dhivya Narayanasamy
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