I am a beginner of the R software v.3.2.5.
I fitted a hybrid ARMA+GARCH stochastic model to a sample of log-returns on an exchange rate using the rugarch package functions. The fitted(modelfitNUMBER) option returns the fitted values in terms of log-returns. So my question is:
How can I convert those fitted log-returns back to exchange rates using R and/or Excel?
Is it correct to run the following: exp(fittedlogreturn-t)*actualexchangerate-t-1?
I already browsed through many posts on this topic but found nothing enlightening.