CODEWITHSUNDEEP
rtime-seriesforecasting
ERHAN KAAN BILGIN
ERHAN KAAN BILGIN

Reputation: 5

Time Series Forecasting with GARCH

I am trying to forecast a time series object in R with GARCH(1,1) model. My goal is to hav 24 instances ahead forecast with the GARCH model. Although I am using a time series object while forecasting,I get the following error:

Error in is.constant(y) : (list) object cannot be coerced to type 'double'

Those are the commands that I am using:

library(forecast)
library(tseries)


trainer1 <- ts(trainer, frequency=24)
m1 <- garch(trainer1, order = c(1,1))
forecasts1 <- forecast(m1, h=24)

And the sample data that I am using is as follows:

124.30
98.99
64.00
64.00
123.99
123.99
34.97
123.99
139.91
140.00
164.30
178.99
140.00
169.95
161.18
139.94
161.31
124.00
115.01
124.00

Many thanks for your help :)

Upvotes: 0

Views: 1356

Answers (1)

UseR10085
UseR10085

Reputation: 8198

The garch is not a function of forecast package. So, you cannot apply forecast function on m1 model. The garch function is available in tseries package. So, to use garch for prediction you have to use

library(forecast)
library(tseries)
trainer1 <- ts(df, frequency=24)
m1 <- garch(trainer1, order = c(1,1))
forecasts1 <- predict(m1, trainer1)

If you want to forecast you can use fGarch package like

library(fGarch)
fit <- garchFit(~ arma(0,1) + garch(1,1), data = trainer1, trace = FALSE)
predict(fit,n.ahead=24,plot=TRUE)

enter image description here

Data

df = structure(list(trainer = c(124.3, 98.99, 64, 64, 123.99, 123.99, 
34.97, 123.99, 139.91, 140, 164.3, 178.99, 140, 169.95, 161.18, 
139.94, 161.31, 124, 115.01, 124)), class = "data.frame", row.names = c(NA, 
-20L))

Upvotes: 1

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