SHIVAMILLS MONTHLY

2023-11-27

# Include necessary packages for analysis

require(quantmod)

## Loading required package: quantmod

## Loading required package: xts

## Loading required package: zoo

##
## Attaching package: ’zoo’

## The following objects are masked from ’package:base’:

##
## as.Date, as.Date.numeric

## Loading required package: TTR

## Registered S3 method overwritten by ’quantmod’:

## method from
## as.zoo.data.frame zoo

library(tseries)
library(ggplot2)
library(forecast)
library(rugarch)

## Loading required package: parallel

##
## Attaching package: ’rugarch’

## The following object is masked from ’package:stats’:

##
## sigma

library(rmgarch)

##
## Attaching package: ’rmgarch’

1
## The following objects are masked from ’package:xts’:
##
## first, last

library(readxl)
library("anytime")
library(lubridate)

##
## Attaching package: ’lubridate’

## The following objects are masked from ’package:base’:

##
## date, intersect, setdiff, union

## Getting the data of NIFTY50 and SHIVAMILLS.NS ##

NSE_M <- getSymbols.yahoo("ˆNSEI", from = "2020-11-02", to = "2023-10-26", verbose = FALSE, auto.assign

NSE_M <- na.omit(NSE_M)
head(NSE_M)

## NSEI.Open NSEI.High NSEI.Low NSEI.Close NSEI.Volume NSEI.Adjusted

## 2020-11-30 13062.20 14024.85 12962.80 13981.75 12077600 13981.75
## 2020-12-31 13996.10 14753.55 13596.75 13634.60 13119900 13634.60
## 2021-01-31 13758.60 15431.75 13661.75 14529.15 14313900 14529.15
## 2021-02-28 14702.50 15336.30 14264.40 14690.70 9886800 14690.70
## 2021-03-31 14798.40 15044.35 14151.40 14631.10 9344700 14631.10
## 2021-04-30 14481.05 15606.35 14416.25 15582.80 9859900 15582.80

tail(NSE_M)

## NSEI.Open NSEI.High NSEI.Low NSEI.Close NSEI.Volume NSEI.Adjusted

## 2023-04-30 18124.80 18662.45 18042.40 18534.40 5737500 18534.40
## 2023-05-31 18579.40 19201.70 18464.55 19189.05 5144400 19189.05
## 2023-06-30 19246.50 19991.85 19234.40 19753.80 5802500 19753.80
## 2023-07-31 19784.00 19795.60 19223.65 19253.80 6027500 19253.80
## 2023-08-31 19258.15 20222.45 19255.70 19638.30 5666500 19638.30
## 2023-09-30 19622.40 19849.75 18837.85 19079.60 4248400 19079.60

SHIVAMILLS_M <- getSymbols.yahoo("SHIVAMILLS.NS", from = "2020-11-02", to = "2023-10-26", verbose = FALS

SHIVAMILLS_M <- na.omit(SHIVAMILLS_M)
head(SHIVAMILLS_M)

## SHIVAMILLS.NS.Open SHIVAMILLS.NS.High SHIVAMILLS.NS.Low

## 2020-11-30 25.75 33.45 25.70
## 2020-12-31 33.50 42.40 29.70
## 2021-01-31 33.05 43.40 31.70
## 2021-02-28 41.90 50.95 40.60
## 2021-03-31 43.30 48.50 40.05
## 2021-04-30 47.50 65.65 44.20
## SHIVAMILLS.NS.Close SHIVAMILLS.NS.Volume SHIVAMILLS.NS.Adjusted

2
## 2020-11-30 32.05 493299 31.31736
## 2020-12-31 31.50 991799 30.77993
## 2021-01-31 40.90 252408 39.96505
## 2021-02-28 42.65 159643 41.67505
## 2021-03-31 47.15 77756 46.07219
## 2021-04-30 65.25 883305 63.75843

tail(SHIVAMILLS_M)

## SHIVAMILLS.NS.Open SHIVAMILLS.NS.High SHIVAMILLS.NS.Low

## 2023-04-30 98.80 98.80 76.35
## 2023-05-31 81.95 81.95 71.00
## 2023-06-30 74.95 75.10 68.20
## 2023-07-31 75.00 77.00 68.20
## 2023-08-31 73.40 79.70 71.25
## 2023-09-30 72.90 90.10 71.55
## SHIVAMILLS.NS.Close SHIVAMILLS.NS.Volume SHIVAMILLS.NS.Adjusted
## 2023-04-30 78.75 253909 78.75
## 2023-05-31 73.20 132457 73.20
## 2023-06-30 74.55 88006 74.55
## 2023-07-31 73.25 146855 73.25
## 2023-08-31 72.90 381527 72.90
## 2023-09-30 76.05 1012642 76.05

## T-Bill Data ##

T_Bills_M_2023_I_Sem <- read_excel("T-Bills_2023.xlsx", sheet = "M")

T_Bills_M <- as.data.frame(T_Bills_M_2023_I_Sem)
head(T_Bills_M)

## Month Yield%
## 1 2023-10-01 0.6125833
## 2 2023-09-01 0.6008333
## 3 2023-08-01 0.5971667
## 4 2023-07-01 0.5976667
## 5 2023-06-01 0.5925000
## 6 2023-05-01 0.5824167

colnames(T_Bills_M)

## [1] "Month" "Yield%"

M_TBills_xts <- xts(T_Bills_M[,-1], order.by=T_Bills_M[,1])

colnames(M_TBills_xts) <- c("Date")
head(M_TBills_xts)

## Warning: object timezone (UTC) is different from system timezone ()

## NOTE: set ’options(xts_check_TZ = FALSE)’to disable this warning
## This note is displayed once per session

3
## Date
## 2020-11-01 0.4925833
## 2020-12-01 0.4911667
## 2021-01-01 0.4957500
## 2021-02-01 0.5190833
## 2021-03-01 0.5147500
## 2021-04-01 0.5025000

### Part 1.1 - Estimating Beta using the CAPM model ###

# Making a dataframe of the closing prices

Close_M <- cbind(NSE_M$NSEI.Close, SHIVAMILLS_M$SHIVAMILLS.NS.Close)
head(Close_M, 5)

## NSEI.Close SHIVAMILLS.NS.Close
## 2020-11-30 13981.75 32.05
## 2020-12-31 13634.60 31.50
## 2021-01-31 14529.15 40.90
## 2021-02-28 14690.70 42.65
## 2021-03-31 14631.10 47.15

# Calculating the returns

### Monthly Returns SHIVAMILLS ###

plot.new()
plot(Close_M$NSEI.Close, mar=c(6,4.1,4.1,2.1))
title(main = "NIFTY Monthly Price", xlab = "Time", ylab = "Price",
cex.main = 1, font.main = 1, cex.lab = 0.5)

4
 NIFTY Monthly Price

Close_M$NSEI.Close 2020−11−30 / 2023−09−30

19000 19000

18000 18000
Price

17000 17000

16000 16000

15000 15000

14000 14000

Nov May Nov May Nov May Sep

2020 2021 2021 2022 2022 2023 2023

Time

plot.new()
plot(Close_M$SHIVAMILLS.NS.Close, mar=c(6,4.1,4.1,2.1))
title(main = "SHIVAMILLS Monthly Price", xlab = "Time", ylab = "Price",
cex.main = 1, font.main = 1, cex.lab = 0.5)

5
 SHIVAMILLS Monthly Price

Close_M$SHIVAMILLS.NS.Close 2020−11−30 / 2023−09−30

160 160

140 140

120 120
Price

100 100

80 80

60 60

40 40

Nov May Nov May Nov May Sep

2020 2021 2021 2022 2022 2023 2023

Time

Returns_M <- as.xts(tail(data.frame(Close_M),-1)/head(data.frame(Close_M),-1) - 1)

head(Returns_M, 5)

## NSEI.Close SHIVAMILLS.NS.Close
## 2020-12-31 -0.024828823 -0.01716066
## 2021-01-31 0.065608878 0.29841275
## 2021-02-28 0.011119012 0.04278728
## 2021-03-31 -0.004057028 0.10550996
## 2021-04-30 0.065046389 0.38388119

tail(Returns_M, 5)

## NSEI.Close SHIVAMILLS.NS.Close
## 2023-05-31 0.03532083 -0.070476229
## 2023-06-30 0.02943085 0.018442707
## 2023-07-31 -0.02531158 -0.017438001
## 2023-08-31 0.01997008 -0.004778136
## 2023-09-30 -0.02844957 0.043209897

M_Ret_SHIVAMILLS <- Returns_M$SHIVAMILLS.NS.Close

M_Ret_SHIVAMILLS <- na.omit(M_Ret_SHIVAMILLS)

plot.new()
plot(M_Ret_SHIVAMILLS, mar=c(6,4.1,4.1,2.1))

6
title(main = "SHIVAMILLS Monthly Returns", xlab = "Time", ylab = "Returns",
cex.main = 1, font.main = 1, cex.lab = 0.5)

SHIVAMILLS Monthly Returns

M_Ret_SHIVAMILLS 2020−12−31 / 2023−09−30

0.4 0.4

0.2 0.2
Returns

0.0 0.0

−0.2 −0.2

Dec Jun Dec Jun Dec Jun Sep

2020 2021 2021 2022 2022 2023 2023

Time

(1 + mean(M_Ret_SHIVAMILLS))ˆ12 - 1

## [1] 0.6262445

sd(M_Ret_SHIVAMILLS)*sqrt(12)

## [1] 0.6533406

M_Ret_NIFTY <- Returns_M$NSEI.Close

M_Ret_NIFTY <- na.omit(M_Ret_NIFTY)

plot.new()
plot(M_Ret_NIFTY, mar=c(6,4.1,4.1,2.1))
title(main = "NIFTY Monthly Returns", xlab = "Time", ylab = "Returns",
cex.main = 1, font.main = 1, cex.lab = 0.5)

7
 NIFTY Monthly Returns

M_Ret_NIFTY 2020−12−31 / 2023−09−30

0.08 0.08

0.06 0.06

0.04 0.04
Returns

0.02 0.02

0.00 0.00

−0.02 −0.02

−0.04 −0.04

Dec Jun Dec Jun Dec Jun Sep

2020 2021 2021 2022 2022 2023 2023

Time

(1 + mean(M_Ret_NIFTY))ˆ12 - 1

## [1] 0.1248352

sd(M_Ret_NIFTY)*sqrt(12)

## [1] 0.1294646

# Calculating Excess Returns

exNSE_M <- Returns_M$NSEI.Close - M_TBills_xts$Date

head(exNSE_M)

## Warning: object timezone (UTC) is different from system timezone ()

## NSEI.Close

tail(exNSE_M)

## Warning: object timezone (UTC) is different from system timezone ()

## NSEI.Close

8
exSHIVAMILLS_M <- Returns_M$SHIVAMILLS.NS.Close - M_TBills_xts
head(exSHIVAMILLS_M)

## Warning: object timezone (UTC) is different from system timezone ()

## SHIVAMILLS.NS.Close

tail(exSHIVAMILLS_M)

## Warning: object timezone (UTC) is different from system timezone ()

## SHIVAMILLS.NS.Close

# Running the regression model

M_regression <- lm(SHIVAMILLS.NS.Close ~ NSEI.Close, data.frame(Returns_M[]))

# Slope parameter = beta in CAPM model

summary(M_regression)

##
## Call:
## lm(formula = SHIVAMILLS.NS.Close ~ NSEI.Close, data = data.frame(Returns_M[]))
##
## Residuals:
## Min 1Q Median 3Q Max
## -0.31602 -0.11677 -0.01349 0.08162 0.50122
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 0.02822 0.03279 0.86 0.396
## NSEI.Close 1.33349 0.86039 1.55 0.131
##
## Residual standard error: 0.1847 on 32 degrees of freedom
## Multiple R-squared: 0.06982, Adjusted R-squared: 0.04076
## F-statistic: 2.402 on 1 and 32 DF, p-value: 0.131

# END OF CAPM

### Part 1.2 - Estimating AR and MA coefficients using ARIMA ###

# Calculating the Returns

M_Returns_SHIVAMILLS <- Returns_M$SHIVAMILLS.NS.Close

colnames(M_Returns_SHIVAMILLS) <- "Returns"
head(M_Returns_SHIVAMILLS, 5)

## Returns
## 2020-12-31 -0.01716066

9
## 2021-01-31 0.29841275
## 2021-02-28 0.04278728
## 2021-03-31 0.10550996
## 2021-04-30 0.38388119

plot(SHIVAMILLS_M$SHIVAMILLS.NS.Close) #can be seen that data is non-stationary

SHIVAMILLS_M$SHIVAMILLS.NS.Close 2020−11−30 / 2023−09−30

160 160

140 140

120 120

100 100

80 80

60 60

40 40

Nov May Nov May Nov May Sep

2020 2021 2021 2022 2022 2023 2023

plot(M_Returns_SHIVAMILLS$Returns) #can seem more stationary with mean ~ 0 with very few outliers OR fi

10
 M_Returns_SHIVAMILLS$Returns 2020−12−31 / 2023−09−30

0.4 0.4

0.2 0.2

0.0 0.0

−0.2 −0.2

Dec Jun Dec Jun Dec Jun Sep

2020 2021 2021 2022 2022 2023 2023

# Stationarity Test

adf.test(M_Returns_SHIVAMILLS$Returns, alternative = "stationary")

##
## Augmented Dickey-Fuller Test
##
## data: M_Returns_SHIVAMILLS$Returns
## Dickey-Fuller = -3.8125, Lag order = 3, p-value = 0.0317
## alternative hypothesis: stationary

# ACF and PACF plots for getting order of AR and MA terms

plot(acf(M_Returns_SHIVAMILLS$Returns, lag.max = 10)) #for AR

11
 Series M_Returns_SHIVAMILLS$Returns
1.0
0.6
ACF

0.2
−0.2

0e+00 2e+05 4e+05 6e+05 8e+05

Lag

plot(pacf(M_Returns_SHIVAMILLS$Returns, lag.max = 10)) #for MA

12
 Series M_Returns_SHIVAMILLS$Returns
0.3
0.1
Partial ACF

−0.1
−0.3

2e+05 4e+05 6e+05 8e+05

Lag

# Running ARIMA(p,d,q) models for various orders

M_arima_final <- auto.arima(M_Returns_SHIVAMILLS)

M_arima_final

## Series: M_Returns_SHIVAMILLS
## ARIMA(0,0,0) with zero mean
##
## sigma^2 = 0.03624: log likelihood = 8.16
## AIC=-14.31 AICc=-14.19 BIC=-12.79

# Predicting using the fitted ARIMA model

M_predicted <- predict(M_arima_final, n.ahead = 10)

M_predicted

## $pred
## Time Series:
## Start = 2937601
## End = 3715201
## Frequency = 1.15740740740741e-05
## [1] 0 0 0 0 0 0 0 0 0 0
##
## $se
## Time Series:

13
 ## Start = 2937601
## End = 3715201
## Frequency = 1.15740740740741e-05
## [1] 0.1903554 0.1903554 0.1903554 0.1903554 0.1903554 0.1903554 0.1903554
## [8] 0.1903554 0.1903554 0.1903554

# Diagnosis of the model

par(mar=c(3,3,3,3)) #Modifying graphic parameters/margins so as to get appropriate diagnosis plots

tsdiag(M_arima_final)

Standardized Residuals
3
1
−1

0 500000 1000000 1500000 2000000 2500000

ACF ofTime
Residuals
1.0
−0.2 0.4
ACF

0 200000 400000 600000 800000 1000000 1200000

Lag
p values for Ljung−Box statistic
0.0 0.4 0.8
p value

2 4 6 8 10

lag
### Part 1.3 - GARCH and EGARCH models ###

# Getting returns
M_Ret_SHIVAMILLS <- Returns_M$SHIVAMILLS.NS.Close

# Implementing univariate GARCH (default: GARCH(1,1))

ug_spec = ugarchspec()
ug_spec

##
## *---------------------------------*
## * GARCH Model Spec *
## *---------------------------------*
##

14
## Conditional Variance Dynamics
## ------------------------------------
## GARCH Model : sGARCH(1,1)
## Variance Targeting : FALSE
##
## Conditional Mean Dynamics
## ------------------------------------
## Mean Model : ARFIMA(1,0,1)
## Include Mean : TRUE
## GARCH-in-Mean : FALSE
##
## Conditional Distribution
## ------------------------------------
## Distribution : norm
## Includes Skew : FALSE
## Includes Shape : FALSE
## Includes Lambda : FALSE

# Implementing EGARCH
eg_spec = ugarchspec(variance.model = list(model="eGARCH"))
eg_spec

##
## *---------------------------------*
## * GARCH Model Spec *
## *---------------------------------*
##
## Conditional Variance Dynamics
## ------------------------------------
## GARCH Model : eGARCH(1,1)
## Variance Targeting : FALSE
##
## Conditional Mean Dynamics
## ------------------------------------
## Mean Model : ARFIMA(1,0,1)
## Include Mean : TRUE
## GARCH-in-Mean : FALSE
##
## Conditional Distribution
## ------------------------------------
## Distribution : norm
## Includes Skew : FALSE
## Includes Shape : FALSE
## Includes Lambda : FALSE

# Estimating the models

ugfit_M = ugarchfit(spec = ug_spec, data = M_Ret_SHIVAMILLS, solver = 'hybrid')

## Warning in .sgarchfit(spec = spec, data = data, out.sample = out.sample, :

## ugarchfit-->waring: using less than 100 data
## points for estimation

15
ugfit_M #lower AIC value models are better

##
## *---------------------------------*
## * GARCH Model Fit *
## *---------------------------------*
##
## Conditional Variance Dynamics
## -----------------------------------
## GARCH Model : sGARCH(1,1)
## Mean Model : ARFIMA(1,0,1)
## Distribution : norm
##
## Optimal Parameters
## ------------------------------------
## Estimate Std. Error t value Pr(>|t|)
## mu 0.037338 0.032256 1.1576 0.247047
## ar1 -0.508985 0.399954 -1.2726 0.203157
## ma1 0.652719 0.337519 1.9339 0.053129
## omega 0.000000 0.000399 0.0000 1.000000
## alpha1 0.000000 0.057281 0.0000 1.000000
## beta1 0.994341 0.050457 19.7065 0.000000
##
## Robust Standard Errors:
## Estimate Std. Error t value Pr(>|t|)
## mu 0.037338 0.033619 1.1106 0.266728
## ar1 -0.508985 0.207150 -2.4571 0.014007
## ma1 0.652719 0.091816 7.1090 0.000000
## omega 0.000000 0.000239 0.0000 1.000000
## alpha1 0.000000 0.061078 0.0000 1.000000
## beta1 0.994341 0.075136 13.2339 0.000000
##
## LogLikelihood : 9.597701
##
## Information Criteria
## ------------------------------------
##
## Akaike -0.211629
## Bayes 0.057728
## Shibata -0.262290
## Hannan-Quinn -0.119771
##
## Weighted Ljung-Box Test on Standardized Residuals
## ------------------------------------
## statistic p-value
## Lag[1] 0.07316 0.7868
## Lag[2*(p+q)+(p+q)-1][5] 0.33495 1.0000
## Lag[4*(p+q)+(p+q)-1][9] 1.49784 0.9971
## d.o.f=2
## H0 : No serial correlation
##
## Weighted Ljung-Box Test on Standardized Squared Residuals
## ------------------------------------

16
## statistic p-value
## Lag[1] 0.001335 0.9709
## Lag[2*(p+q)+(p+q)-1][5] 1.149591 0.8250
## Lag[4*(p+q)+(p+q)-1][9] 2.030005 0.9014
## d.o.f=2
##
## Weighted ARCH LM Tests
## ------------------------------------
## Statistic Shape Scale P-Value
## ARCH Lag[3] 0.571 0.500 2.000 0.4498
## ARCH Lag[5] 1.608 1.440 1.667 0.5645
## ARCH Lag[7] 1.752 2.315 1.543 0.7695
##
## Nyblom stability test
## ------------------------------------
## Joint Statistic: 3.0976
## Individual Statistics:
## mu 0.34672
## ar1 0.28272
## ma1 0.29423
## omega 0.07659
## alpha1 0.06646
## beta1 0.07860
##
## Asymptotic Critical Values (10% 5% 1%)
## Joint Statistic: 1.49 1.68 2.12
## Individual Statistic: 0.35 0.47 0.75
##
## Sign Bias Test
## ------------------------------------
## t-value prob sig
## Sign Bias 0.8995 0.3758
## Negative Sign Bias 0.7278 0.4726
## Positive Sign Bias 0.4997 0.6211
## Joint Effect 0.9311 0.8179
##
##
## Adjusted Pearson Goodness-of-Fit Test:
## ------------------------------------
## group statistic p-value(g-1)
## 1 20 28.35 0.07687
## 2 30 45.41 0.02682
## 3 40 50.71 0.09923
## 4 50 68.94 0.03164
##
##
## Elapsed time : 0.04285383

egfit_M = ugarchfit(spec = eg_spec, data = M_Ret_SHIVAMILLS, solver = 'hybrid')

## Warning in .egarchfit(spec = spec, data = data, out.sample = out.sample, :

## ugarchfit-->waring: using less than 100 data
## points for estimation

17
egfit_M #lower AIC value models are better

##
## *---------------------------------*
## * GARCH Model Fit *
## *---------------------------------*
##
## Conditional Variance Dynamics
## -----------------------------------
## GARCH Model : eGARCH(1,1)
## Mean Model : ARFIMA(1,0,1)
## Distribution : norm
##
## Optimal Parameters
## ------------------------------------
## Estimate Std. Error t value Pr(>|t|)
## mu -0.01388 0.000014 -1026.4 0
## ar1 -0.76732 0.000160 -4802.7 0
## ma1 0.83108 0.000213 3902.3 0
## omega -1.57685 0.000417 -3778.1 0
## alpha1 0.50251 0.000053 9522.5 0
## beta1 0.63138 0.000138 4584.7 0
## gamma1 -1.94959 0.000505 -3860.0 0
##
## Robust Standard Errors:
## Estimate Std. Error t value Pr(>|t|)
## mu -0.01388 0.000126 -110.374 0
## ar1 -0.76732 0.000941 -815.265 0
## ma1 0.83108 0.001478 562.119 0
## omega -1.57685 0.018285 -86.238 0
## alpha1 0.50251 0.000275 1826.691 0
## beta1 0.63138 0.007309 86.377 0
## gamma1 -1.94959 0.015293 -127.484 0
##
## LogLikelihood : 23.4691
##
## Information Criteria
## ------------------------------------
##
## Akaike -0.96877
## Bayes -0.65452
## Shibata -1.03570
## Hannan-Quinn -0.86160
##
## Weighted Ljung-Box Test on Standardized Residuals
## ------------------------------------
## statistic p-value
## Lag[1] 0.01525 0.9017
## Lag[2*(p+q)+(p+q)-1][5] 2.45990 0.7995
## Lag[4*(p+q)+(p+q)-1][9] 4.60352 0.5464
## d.o.f=2
## H0 : No serial correlation
##

18
## Weighted Ljung-Box Test on Standardized Squared Residuals
## ------------------------------------
## statistic p-value
## Lag[1] 7.603 0.005826
## Lag[2*(p+q)+(p+q)-1][5] 9.029 0.016272
## Lag[4*(p+q)+(p+q)-1][9] 10.478 0.039577
## d.o.f=2
##
## Weighted ARCH LM Tests
## ------------------------------------
## Statistic Shape Scale P-Value
## ARCH Lag[3] 0.6017 0.500 2.000 0.4379
## ARCH Lag[5] 2.1856 1.440 1.667 0.4316
## ARCH Lag[7] 2.7891 2.315 1.543 0.5542
##
## Nyblom stability test
## ------------------------------------
## Joint Statistic: 0.8201
## Individual Statistics:
## mu 0.04049
## ar1 0.02660
## ma1 0.02792
## omega 0.02143
## alpha1 0.04119
## beta1 0.02838
## gamma1 0.05132
##
## Asymptotic Critical Values (10% 5% 1%)
## Joint Statistic: 1.69 1.9 2.35
## Individual Statistic: 0.35 0.47 0.75
##
## Sign Bias Test
## ------------------------------------
## t-value prob sig
## Sign Bias 0.3707 0.7135
## Negative Sign Bias 1.2615 0.2172
## Positive Sign Bias 1.1041 0.2786
## Joint Effect 2.9169 0.4046
##
##
## Adjusted Pearson Goodness-of-Fit Test:
## ------------------------------------
## group statistic p-value(g-1)
## 1 20 16.59 0.6177
## 2 30 27.76 0.5305
## 3 40 34.24 0.6868
## 4 50 42.47 0.7334
##
##
## Elapsed time : 0.64819

# Forecasting

ugforecast_M = ugarchforecast(ugfit_M, n.ahead = 10)

19
ugforecast_M

##
## *------------------------------------*
## * GARCH Model Forecast *
## *------------------------------------*
## Model: sGARCH
## Horizon: 10
## Roll Steps: 0
## Out of Sample: 0
##
## 0-roll forecast [T0=2023-09-30]:
## Series Sigma
## T+1 0.04616 0.1661
## T+2 0.03285 0.1656
## T+3 0.03962 0.1652
## T+4 0.03617 0.1647
## T+5 0.03793 0.1642
## T+6 0.03704 0.1638
## T+7 0.03749 0.1633
## T+8 0.03726 0.1629
## T+9 0.03738 0.1624
## T+10 0.03732 0.1619

egforecast_M = ugarchforecast(egfit_M, n.ahead = 10)

egforecast_M

##
## *------------------------------------*
## * GARCH Model Forecast *
## *------------------------------------*
## Model: eGARCH
## Horizon: 10
## Roll Steps: 0
## Out of Sample: 0
##
## 0-roll forecast [T0=2023-09-30]:
## Series Sigma
## T+1 0.002712 0.09574
## T+2 -0.026611 0.10334
## T+3 -0.004111 0.10845
## T+4 -0.021376 0.11180
## T+5 -0.008128 0.11398
## T+6 -0.018293 0.11537
## T+7 -0.010493 0.11626
## T+8 -0.016478 0.11682
## T+9 -0.011886 0.11718
## T+10 -0.015410 0.11740

20