how to get underlying values being plotted in garchfit predict plot

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how to get underlying values being plotted in garchfit predict plot

Kulkarni, Miheer
Hello,

I have a time series of 500 returns. I am fitting a garch(1,1) model to this series using

fit <- garchFit(~garch(1,2), data=y)

Then I run:  predict(fit,n.ahead=100,plot=TRUE)

To get the plot.

My question, how can I access the data that is being plotted with the black line. Basically I want the list of predictions for the next 100 times, the function returns the meanForecast(constant), meanError, standardDeviation, and lower and upper intervals based on mean +/- 1.96*MSE but not the values actually being plotted (for the first 100 times, beyond that it shows the mean and conf. interval).

Thanks!



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