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

Asked by chang min on 21 Jul 2012

hello

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.

http://www.kevinsheppard.com/wiki/MFE_Toolbox 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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chang min

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