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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 (asymmetric DCC) model in R. The rmgarch package in R only supports 1-day ahead forecasts

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  • $\begingroup$ Did you mean rmgarch package instead of RM package? $\endgroup$ May 22, 2020 at 11:04
  • $\begingroup$ yes, that is right. Sorry for that. I will edit it in the question. $\endgroup$
    – duruixuan
    May 26, 2020 at 19:37

2 Answers 2

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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, ...)
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I recently did that for 5 days, so it possible to do it. Just make sure to use n.ahead and not n.head. If you have further errors just post the code here. Anyway Alba already suggested the correct code to use.

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