function for prediting garch

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function for prediting garch

oliver wee
hello,

In my time series data, I was able to successfully fit
its ARIMA model (Box-Jenkins) and its GARCH model and
estimate their parameters. I was also able to forecast
future values of the time series based on my fitted
ARIMA model using the predict() function call.

However, I'm not sure what is the correct function
command to call in order to forecast  future values of
my time series using both the fitted ARIMA model and
the fitted GARCH model. Using predict() didn't give me
the result I was looking for. And I can't find any
documentation using help.search,

I think what I am looking for is akin to the garchsim
and garchpred commands in Mathlab.

Any help is appreciated. Thanks!

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function for prediting garch

oliver wee

> hello,
>
> In my time series data, I was able to successfully
> fit
> its ARIMA model (Box-Jenkins) and its GARCH model
> and
> estimate their parameters. I was also able to
> forecast
> future values of the time series based on my fitted
> ARIMA model using the predict() function call.
>
> However, I'm not sure what is the correct function
> command to call in order to forecast  future values
> of
> my time series using both the fitted ARIMA model and
> the fitted GARCH model. Using predict() didn't give
> me
> the result I was looking for. And I can't find any
> documentation using help.search,
>
> I think what I am looking for is akin to the
> garchsim
> and garchpred commands in Mathlab.
>
> Any help is appreciated. Thanks!

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Re: function for prediting garch

Kjetil Halvorsen
In reply to this post by oliver wee
oliver wee wrote:

> hello,
>
> In my time series data, I was able to successfully fit
> its ARIMA model (Box-Jenkins) and its GARCH model and
> estimate their parameters. I was also able to forecast
> future values of the time series based on my fitted
> ARIMA model using the predict() function call.
>
> However, I'm not sure what is the correct function
> command to call in order to forecast  future values of
> my time series using both the fitted ARIMA model and
> the fitted GARCH model. Using predict() didn't give me
> the result I was looking for. And I can't find any
> documentation using help.search,

You should have given reproducible code!

In my understanding, (g)arch is applied to an
uncorrelated series without autocorrelastions,
as the residuals from a properly estimated ARIMA
model. So to get the predictions for the original
series, you need to
1) predict with the ARIMA model
2) estimate a garch model to the residuals
3) predict the residuals
4) modify the prediction from 1) with the prediction from 3)

Kjetil

>
> I think what I am looking for is akin to the garchsim
> and garchpred commands in Mathlab.
>
> Any help is appreciated. Thanks!
>
> ______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
>

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https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html