Re: [R] Forecast GARCH model

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 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 w

[R] Forecast GARCH model

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=arim