Suppose the GARCH(1,1) equation is : Sigma[t]^2 = w + a* Sigma[t-1]^2 + b*r[t-1]^2
One step ahead forecast : Sigma[t+1]^2 = w + a* Sigma[t]^2 + b*r[t]^2 All informations are available here Two step ahead forecast : Sigma[t+2]^2 = w + a* Sigma[t+1]^2 + b*r[t+1]^2 Here r[t+1] is not known at time "t" therefore is a r.v. Replacing this with it's expected value as r[t+1]^2 = E[r[t+1]^2] = sigma[t+1]^2, assuming E[r[t+1]] = 0 Therefore Sigma[t+2]^2 = w + a* Sigma[t+1]^2 + b*r[t+1]^2 = w + a* Sigma[t+1]^2 + b* Sigma[t+1]^2 = w + (a+b)* Sigma[t+1]^2 Carry on same procedure for next period forecast. Hope this helps. -----Original Message----- From: r-help-boun...@r-project.org [mailto:r-help-boun...@r-project.org] On Behalf Of Daniel Mail Sent: 10 June 2009 18:55 To: r-help@r-project.org Subject: [R] Predict GARCH hello, i was trying to predict values for a garch, so i did: predict(fitgarch,n.ahead = 20) but this doesn't work. Someone can tell me how to get the 20 values ahead of a garch model. thanks in advance _________________________________________________________________ O Windows Live ajuda-o a manter-se em contacto com todos os seus amigos, num ss local. http://www.microsoft.com/portugal/windows/windowslive/products/social-networ k-connector.aspx [[alternative HTML version deleted]] ______________________________________________ R-help@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.