Re: [R] Predict GARCH
So christofer proved (carry on the same procedure infinite times) that the forecast of the variance converge to the long run variance when a+b1 E(Sigma[t+2]^2) = w/(1-a-b) + [(a+b)^t]* Sigma[t+1]^2 Therefore when you predict n.ahead = 20 it must to converge to the long run variance. It can be fast depending on the data. Regards, Marlene. 2009/6/10 bogaso.christofer bogaso.christo...@gmail.com 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.aspxhttp://www.microsoft.com/portugal/windows/windowslive/products/social-networ%0Ak-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. [[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.
[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 só local. http://www.microsoft.com/portugal/windows/windowslive/products/social-network-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.
Re: [R] Predict GARCH
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.
Re: [R] Predict GARCH
Hello, On 6/10/09, Daniel Mail d20...@live.com.pt wrote: 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. You didn't specify what function you used to obtain the GARCH model. If you use rgarch [1], it provides functions for forecasting step-ahead values. Liviu [1] http://rgarch.r-forge.r-project.org/index.html __ 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.
