Re: Question about ARMA in new C# version of Suanshu

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Hello Mr. Li.

thank you for your answers,

Thank you for explaining the initial sigma generation,
I am looking only for the next forecast (of 1 value) for GARCH,
do you have a function/method for that in your API ?

Sorry for not being clear about my last question, it is a little hard
to explain, I think this will be clearer :

– My data series is a log return series
– I use only ARMA(p,q) on the data and get a mean forecast
– Then I use the combined ARMA(p,q)/GARCH(1,1) and get a different mean forecast
  (from the one I got when only using ARMA(p,q) )
– I am trying to imitate the functionality of the combined ARMA/GARCH by using ARMA
  and GARCH seperatly in the following procedure :

– using the data (log return series) in ARMA,
– getting the residuals (I do not use ARMA to forecast, only to generate the model/residuals),
– use the ARMA residuals in GARCH, and then use a forecast from GARCH

– But since GARCH only forecasts variance, I am asking myself how can the combined ARMA/GARCH
  forecast a mean which is different then the mean forecast by only ARMA.

Hope it is more clear now.

Thank you,