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chang min

Forecasting 1-step/10 steps ahead with ARMA(1,1) and GARCH(1,1)

Asked by chang min
on 21 Jul 2012


currently i am trying to forecast 1-step or 10 steps ahead with ARMA-GARCH with a known series. That is i am splitting the known series into in-samples and out-samples. The forecasted output is the result of in-sample data and run one-step ahead forecasting. This process is continued to the end of the known series and compared with the actual data to find the MSE. has ARMA forecasting which do the above method. However, I search MATLAB library and internet, it seems that I could not find ready-made program for ARMA-GARCH forecasting. The closer one I saw is garchpred but is wrong. Maybe I miss out something.

anyone would like to advice me?

thank you



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