How to predict future data using GARCH process?

18 July 2013 1 2K Report

I have sales data set of 120 months and it is associated with ARCH effect. Is there any procedure to predict the future sales (for next 12 months) using this data set by incorporating ARCH effect? The identified model is GARCH(2,1).

Kumaraswamy Kandukuri

The hybrid model ARIMA-GARCH or ARMA-GARCH is used to predict the future behavior. It is simple that you can add the volatility to the predicted future values with the ARIMA or ARMA processes.

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