Estimate conditional SD with rugarch package for different series than what used for model estimation

Previous Topic Next Topic
 
classic Classic list List threaded Threaded
1 message Options
Threaded
Open this post in threaded view
|  
Report Content as Inappropriate

Estimate conditional SD with rugarch package for different series than what used for model estimation

Paul Maural
Hi,

I am trying to find a way where I estimate a Garch moel parameters
using rugrach package based on some data set, and use those estimate
to estimate conditional SD and predict for some different series.

To demonstrate, say I have below data set which to be used for
parameter estimation :

require(rugarch)
data(sp500ret)

EstimationData = sp500ret[1000:2000, ,drop = FALSE]; head(EstimationData)

fit = ugarchfit(ugarchspec(), EstimationData, solver = 'hybrid')

Now I want to estimate conditional SD of ***full dataset** based on
the parameters available with 'fit'. I used below :

sigma(fit)

However it is giving consitional SD for EstimationData only.

Can anyone please point me how to achieve that with rugarch?

Thanks for your time.

_______________________________________________
[hidden email] mailing list
https://stat.ethz.ch/mailman/listinfo/r-sig-finance
-- Subscriber-posting only. If you want to post, subscribe first.
-- Also note that this is not the r-help list where general R questions should go.
Loading...