I am using the predict and ugarchforecast functions in R. When I fit my models and try to forecast, I get either only increasing or decreasing values for sigma, does anyone know why?

Thank you

I am using the predict and ugarchforecast functions in R. When I fit my models and try to forecast, I get either only increasing or decreasing values for sigma, does anyone know why?

Thank you

Example:

eGARCHfit2 = ugarchspec(variance.model=list(model="eGARCH", garchOrder=c(1,1)), mean.model=list(armaOrder=c(0,0), include.mean=TRUE), distribution.model="norm") eGARCH2 <- ugarchfit(brentlog2, spec=eGARCHfit2)

ugarchforecast(eGARCH2, data =brentlog2, n.ahead = 21)

• GARCH Model Forecast * ------------------------------------
  

• Model: eGARCH
  

• Horizon: 21 Roll Steps: 0 Out of Sample: 0 0-roll
  

  forecast [T0=1976-06-26 01:00:00]:
  Series Sigma
  T+1 0.0002619 0.008350
  T+2 0.0002619 0.008387
  T+3 0.0002619 0.008423
  T+4 0.0002619 0.008459
  T+5 0.0002619 0.008496
  T+6 0.0002619 0.008532
  T+7 0.0002619 0.008569
  T+8 0.0002619 0.008605
  T+9 0.0002619 0.008642
  T+10 0.0002619 0.008678
  

The first value is the mean which is always constant and the second one is sigma which is always increasing as you can see.