Q:

How to use ARMA GARCH to do forecasting in R?

How to use ARMA GARCH to do forecasting in R? I only know how to use ARMA to do the prediction and GARCH to do volatility forecasting but how can we use ARMA GARCH to do forecasting in R. Can anyone solve the problem with R code. THX

A:

library(fGarch)

fit = garchFit(~ arma(2,1)+garch(1,1), data = y,include.mean=FALSE)
predict(fit, n.ahead = 10, plot=TRUE, crit_val=2)

see  here (page 30) for more details

