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

  • $\begingroup$ Did you mean rmgarch package instead of RM package? $\endgroup$ May 22 '20 at 11:04
  • $\begingroup$ yes, that is right. Sorry for that. I will edit it in the question. $\endgroup$
    – duruixuan
    May 26 '20 at 19:37

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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