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Hello I want to predict the future values of time series with Garch When I specified my model like this: library(fGarch) ret <- diff(log(x))*100 fit = garchFit(~arma(1,0,0)+garch(1, 1), data =ret) predict(fit, n.ahead = 10) meanForecast meanError standardDeviation 1 0.01371299 0.03086350 0.03305819 2 0.01211893 0.03094519 0.03350248 .................................................................................... I know that if I use fit = garchFit(~garch(1, 1), data =ret) I got constant mean, so trherefore I includ...

Hi, could anyone tell me how predict() predicts the meanError or standardDerivation of a garchFit(1,1)-model, knowing the coefficients mu, omega, alpha1, beta1 and of course all datapoints? Thanks and sorry for my poor english. -- View this message in context: http://r.789695.n4.nabble.com/predict-of-garchFit-tp3826335p3826335.html Sent from the R help mai...

...a t-student as conditional distribution, for this i used the fGarch librray, the code is the following: h<-garchFit(~arma(1,1)+garch(2,2),data=R,cond.dist="std",TRACE=F) On the other hand, for the prediction i use the function "predict". predict(h,10) meanForecast meanError standardDeviation 1 0.001451401 0.01531682 0.01531682 2 0.001265062 0.01540083 0.01539350 3 0.001263344 0.01549628 0.01548892 4 0.001263328 0.01557306 0.01556565 5 0.001263328 0.01566420 0.01565676 6 0.001263328 0.01574062 0.01573312 7...

Hi, Although my doubt is pretty,as i m not from stats background i am not sure how to proceed on this. Currently i am doing a forecasting.I used ARIMA to forecast and time series was volatile i used garchFit for residuals. How to use the output of Garch to correct the forecasted values from ARIMA. Here is my code: ###delta is the data fit<-arima(delta,order=c(2,,0,1)) fit.res <-