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Richard Hardy
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You are interested in prediction intervals (applicable to outcomes of a random variable) rather than confidence intervals (applicable to parameters or their combinations), I presume.

Add Month as an external regressor to the mean equation when specifying the GARCH model. I am not sure whether garchFit has the functionality, but ugarchspec and ugarchfit from the rugarch package certainly do. In the function ugarchspec, there is an argument external.regressors within mean.model for putting Month into. See the documentation.

Alternatively, just add the fitted values from ymod1 to each end of the prediction intervals that you have obtained for the GARCH model on the residuals from ymod1.

Add Month as an external regressor to the mean equation when specifying the GARCH model. I am not sure whether garchFit has the functionality, but ugarchspec and ugarchfit from the rugarch package certainly do.

Alternatively, just add the fitted values from ymod1 to each end of the prediction intervals that you have obtained for the GARCH model on the residuals from ymod1.

You are interested in prediction intervals (applicable to outcomes of a random variable) rather than confidence intervals (applicable to parameters or their combinations), I presume.

Add Month as an external regressor to the mean equation when specifying the GARCH model. I am not sure whether garchFit has the functionality, but ugarchspec and ugarchfit from the rugarch package certainly do. In the function ugarchspec, there is an argument external.regressors within mean.model for putting Month into. See the documentation.

Alternatively, just add the fitted values from ymod1 to each end of the prediction intervals that you have obtained for the GARCH model on the residuals from ymod1.

Source Link
Richard Hardy
  • 69.5k
  • 13
  • 126
  • 278

Add Month as an external regressor to the mean equation when specifying the GARCH model. I am not sure whether garchFit has the functionality, but ugarchspec and ugarchfit from the rugarch package certainly do.

Alternatively, just add the fitted values from ymod1 to each end of the prediction intervals that you have obtained for the GARCH model on the residuals from ymod1.