0
$\begingroup$

I am working on forecasting covariances with the use of MGARCH models. I was wondering if anyone knows how to implement a n-day ahead forecast of the aDCC (assymmetric DCC) model in R. The rmgarch package in R only supports 1-day ahead forecasts

$\endgroup$
  • $\begingroup$ Did you mean rmgarch package instead of RM package? $\endgroup$ – Richard Hardy May 22 at 11:04
  • $\begingroup$ yes, that is right. Sorry for that. I will edit it in the question. $\endgroup$ – duruixuan May 26 at 19:37
0
$\begingroup$

I was under the impression that it is possible in the rmgarch package. For 2 days, you could try:

dccforecast(your_model_fit, n.ahead = 2, ...)
| improve this answer | |
$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.