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From: Ronald Phillips on 10 Oct 2009 12:45
Hi All,

I am trying to predict the returns of a price series using ARMA-GARCH model. If we assume that, the price series is p, then the step with which I have tried solving it is:

a. Detrend the the price series using price2ret();
b. Apply AIC or PACF to estimate the order of the model
c. Use garchfit();

Now I am stuck, as I am confused how to go ahead from here to predict the conditional variances and return series? I am not able to understand the difference between garchpred() and ugarchpred(). I have used garchsim() but I dont think that is the right way to go forward.

I want to overlay, the predicted price series with the original price series, p and would like to see a nice fit visually.

Please do suggest me.

Thank You
Ronald
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