[R] GARCH and forecasting

Adrian Trapletti a.trapletti at bluewin.ch
Wed Jun 23 10:52:47 CEST 2004


Laura Holt wrote:

> Dear R People:
>
> Is there a way to forecast with GARCH modeling as found in tseries, 
> please?
>
> When I use the predict command, I get an output of length 100, 
> regardless of what I put in the n.ahead steps.

n.ahead is no argument to predict.garch. See ?predict.garch. Only 
one-step ahead predictions are possible. For a prediction with no target 
observation available, use genuine = T.

Best
Adrian

>
> R Version 1.9.0
>
> Thanks in advance.
> Sincerely,
> Laura
> mailto: lauraholt_983 at hotmail.com
>
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