Hi, we have a problem concerning the use and forecasting on the GARCH (1, 1) on
financial data.
We would like to make predictions on future returns in a loop which moves the
window of estimation forward one unit for each iteration. Our code is as
follows:
> BJORN <- read.table("C:/Users/Osvald/Desktop/DATATILLUPPSATS.txt",
+ header=TRUE, sep="\t", na.strings="NA", dec=",", strip.white=TRUE)
> t <- as.timeSeries(BJORN)
> start=length(t[2:1834])
> end=length(t)
> fore = array(0, dim=(end-start))
> for (i in start:end) {
+fit <- garchFit(formula =garch(1,1), data = t[1:i])
+pred <- predict(fit, n.ahead=1)
+fore[i-start+1] = pred[,1]
+ }
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