Fitting an ARMA model to the GARCH simulations artificial time series, Forecasting GARCH model, An R software implementation

We report on concepts and methods to implement the family of ARMA models with GARCH simulation and fitting models. The software implementation is written in R language programming. The implementation is tested with ARMA (1, 1) model applied to the simulated data set given by GARCH (1, 1) model. Three different type of GARCH model are used to fit to the ARMA (1, 1) residuals. The models are compared with AIC and BIC values. Moreover forecasting 10 steps ahead form GARCH (1, 4) model. Implementations are available for R software environments, which are open sources project for computational finance and financial engineering.

کلیدواژه ها:

ARIMA ، GARCH ، Simulation ، Fitting ، Forecasting