The RATS Software Forum

Hello everybody,
I have got a very basic question. I want to do forecats with the mean equation of a GARCH(1,1) model. All books, manuals etc only explain the condtional variance forecast of the GARCH model. But I want to do conditional mean forecast. Is there any procedure which I can use?
I thougt about estimating the GARCH(1,1) then take the coefficients and plug them into an equation und then use the UFORECAST routine.
Would that work?

Thank you very much

Yes. Unless you have "M" terms (so the variance feeds into the mean), the forecasts of the mean just use the mean model and ignore the variance model. If you input the mean model into GARCH using EQUATION or MODEL, you can just use those directly.