R help - Jun 2009 - 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=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]]

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<aritaramos at 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 at 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