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Horse race

You are now asked to run a horse race in terms of forecasting accuracy between the two approaches for making rolling GARCH model predictions:

  • garchroll: AR(1) standard GARCH model and student \(t\) distribution
  • gjrgarchroll: AR(1) GJR GARCH model and skewed student \(t\) distribution.

The rolling estimations are implemented using n.start = 2500, refit.window = "moving", refit.every = 500.

The resulting ugarchroll objects are available in the console.

This exercise is part of the course

GARCH Models in R

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Hands-on interactive exercise

Have a go at this exercise by completing this sample code.

# Inspect the first three rows of the dataframe with out of sample predictions
garchpreds <- as.data.frame(garchroll)
head(garchpreds, ___)
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