How can I derive forecasting formula for the conditional variance $h_{t+k}$, $k\geq1$ for AR(p)-GARCH(1,1)?
Asked
Active
Viewed 185 times
1
-
Might this be a duplicate? Or perhaps this? – Richard Hardy Feb 26 '23 at 20:46
-
Hint: The conditional mean model (in this case AR(p)) does not play a role when forecasting the conditional variance. The cond. var. forecast is thus derived from the cond. var. equation specified by GARCH(r,s). Multiple-step-ahead cond. var. forecast can be found in a time series textbook that covers GARCH models. Try e.g. Tsay "Analysis of Financial Time Series" or Zivot "Practical issues in the analysis of univariate GARCH models". – Richard Hardy Feb 26 '23 at 20:49