March 12th, 2003, 11:59 pm
Hi,I am using Matlab’s Garch toolbox for volatility forecast. I am still new in this area,,, I am having trouble interpreting the output of garchpred,, for example,sigmaForecast,meanForecast,sigmaTotal] = garchpred(coeff,... nasdaq,10); [sigmaForecast,meanForecast,sigmaTotal]ans = 0.0120 -0.0005 0.0120 0.0120 -0.0005 0.0170 0.0121 -0.0005 0.0208 0.0121 -0.0005 0.0241 0.0122 -0.0005 0.0270 0.0122 -0.0005 0.0297 0.0123 -0.0005 0.0321 0.0123 -0.0005 0.0344 0.0124 -0.0005 0.0366 0.0124 -0.0005 0.0386How do I now determine the volatility for t+1 ,..t+N ,, How does this help me to forecast returns for t+1 ?Regards