search for: meanforecast

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 trherefo...

Hi, I am having some confusion.It has been said that we can only estimate the future values using meanForecast +/- 2*standardDeviation. with 95% confidence.This means using this garch model we can only have a upper and lower limit of the values within which the next actual value is expected to lie.Then how come in research papers they plot the actual and predicted value so neatly.The simple problem i am fin...

...(1,1) , i used 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 0.015...

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 <-