[R] Getting forecast values using DCC GARCH fit

Dhivya Narayanasamy
Wed, 07 Jun 2017 09:25:30 -0000

Hi,
I am completely new to GARCH models and 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 = 100,
                             fit.control =
list(eval.se=T))
> dcc.focast=dccforecast(fit.a, n.ahead = 100)

May I know how to get the forecast values from 'dcc.focast' ? when i
plot
the model using,

> plot(dcc.focast, which = 1)

I get different plots such as.
Make a plot selection (or 0 to exit):

1:   Conditional Mean (vs Realized Returns)
2:   Conditional Sigma (vs Realized Absolute Returns)
3:   Conditional Covariance
4:   Conditional Correlation
5:   EW Portfolio Plot with conditional density VaR limits

May i know what i should do with "Conditional covariance" and
"conditional
correlation" forecast. I know this is for volatility prediction. I am
interested to know what things i can interpret from this conditional
covariance ?

 Any help is much appreciated. Thanks.,

Regards
Dhivya

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