New answers tagged stochastic-volatility
You might want to have a look at the stochvol vignette (http://cran.r-project.org/web/packages/stochvol/vignettes/article.pdf), where this process is described in detail in Algorithm 1. In particular, if I understand you correctly, what you need is step 4b. Now to your code: 1) It's not really a rolling forecast, because you estimate the model only once. ...
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