Hello, There was a recent discussion "[R] Predict GARCH" [1]. Liviu
[1] http://www.nabble.com/Predict-GARCH-td23962363.html#a23962363 On Tue, Jun 23, 2009 at 1:02 PM, Ana Ramos<aritara...@gmail.com> wrote: > Hi, > > I've fitted a GARCH(1,1) for the residuals of my time serie (X). > X is an ARMA(1,1) process. > Now I want to do a n-step forecast for X, knowing these processes. How can I > do this? > I know that there's a command: > > predict() for ARIMA processes and so on, but what about GARCH? > > I've got: > > arma=arima(x, order=c(1,0,1)) > (...) > garch11<-garch(residuals(x),order = c(1, 1)) > summary(garch11) > > How can I forecast the conditional variance and my serie X? > > Many thanks > Ana > > [[alternative HTML version deleted]] > > ______________________________________________ > 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. > -- Do you know how to read? http://www.alienetworks.com/srtest.cfm Do you know how to write? http://garbl.home.comcast.net/~garbl/stylemanual/e.htm#e-mail ______________________________________________ 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.
