stats_garch-forecast
Forecast future volatility using a GARCH(1,1) model with maximum likelihood estimation. Provide a return series to obtain GARCH parameters, current conditional volatility, and multi-step ahead forecasts.
Instructions
GARCH(1,1) volatility forecast using maximum likelihood estimation.
Use when forecasting future volatility using a GARCH(1,1) model. Provide a return series. Returns: GARCH parameters (omega, alpha, beta), current conditional volatility, and multi-step ahead volatility forecasts.
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| returns | Yes | Array of return data | |
| mean_model | No | Mean model specification | zero |
| forecast_periods | No | Number of periods to forecast ahead |