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I have the log returns of closing prices and am trying to use GARCH(1,1) model to forecast volatility of these log returns. So, far I have the following code, but I get incorrect values for my forecast.

library(quantmod) 
library(tseries) 
library(fGarch)

r = Data[indexStart:indexEnd] # Log Returns
fgarch.fitted = fGarch::garchFit(~ garch(1,1), data = as.zoo(na.omit(r)),trace = FALSE) 
predict(fgarch.fitted, n.ahead = 1,doplot=F)[3]
gianteagle
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  • How do you know that the forecast is wrong? This blog post is on topic but I don't think it helps with this specific question: http://www.portfolioprobe.com/2012/07/06/a-practical-introduction-to-garch-modeling/ – Patrick Burns Oct 06 '12 at 09:40
  • If you don't get suitable answers here, you might try asking on [Quantitative Finance SE](http://quant.stackexchange.com/). – Joshua Ulrich Oct 06 '12 at 12:56

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