I have a data set that contains the monthly returns of the TRM of dollar, using a GARCH(1,1) I have to predict the next return value of the TRM for each one of the following 6 months. I don't know if I have to use the method forecast or simulate to obtain this values.
The result that I have to obtain is a matrix with dimension 1000x6 where each row represents different simulations of the GARCH of the returns, and each column the projection to each month.
This is how I generate GARCH but I'm stuck doing this simulations, please help
garch = arch_model(retornos, vol="Garch", p=1,q=1, dist="studentst", rescale=False)
model = garch.fit(disp='off')
I tried the method forecast available in the library arch
sims1 = model.forecast(method="simulation", horizon=6, simulations=1000)
but it doesn't return what I am needing
Also I used simulate method but only still not working or is not returning what I need
garch = arch_model(retornos, vol="Garch", p=1,q=1, dist="studentst", rescale=False)
model = garch.fit(disp='off')
sims = garch.simulate(model.params, nobs=1000, burn=6)
