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I would like to generate 21 day ahead forecast volatility with ugarchroll. I know it is similar to ugarchforecast with the exception that ugarchroll is a rolling average which considers initially the last n.start points to generate one sample ahead. While ugarchforecast is not rolling. I tried to coded as follows:

ugfit_roll <- ugarchroll(ug_spec, EURUSD, n.start = 3000, refit.every = 1000, refit.window = "moving", forecast.length = 21)
garchpreds <- as.data.frame(ugfit_roll)

however, I am not able to see the 21 points in the future..my data are 5600 samples ending 24/07/2020, afetr running the above function I was expecting to see from "View(garchpreds)" the data ending 17/08/2020..but it is not like that and I still see 24/07/2020. What is it going wrong? thanks for helping. Luigi

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It seems to me like the package does not work that way. I have been wondering around with the same problem and with the parameter forecast.length it forecasts the last 21 observations from your data trying to do a "cross validation".

With ugarchforecast() it actually forecasts the amount of times ahead you ask. It seems to me very weird what this function does, since I naively used the function as well.

I suggest you coding the loop yourself and reading this!.

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  • $\begingroup$ hi..yes in the end I used ugarchforecast(). Thanks for linking the last updated vignette in rugarch package though $\endgroup$
    – Luigi87
    Mar 11, 2021 at 8:24

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