I am having some troubles obtaining density forecasts of any returns series. As I couldn't find any numerical examples on the Internet, I would like to ask you guys for some help.
My goal is to obtain density forecasts using a GARCH model (in R). Using the basic GARCH model (from the rugarch package) I can obtain a series of return forecasts or volatility forecasts (and assume a constant mean).What I do not understand however is how to obtain the density forecasts from the information I already have. Having the return and volatility forecasts what is the next step to obtain the density forecasts? I am not asking for a piece of code to calculate it per se but rather for explaining what are the steps necessary to obtain the density forecast (predicted density of a GARCH model).
I know this may be a simple question but any help would be really appreciated.