Rolling Window FIGARCH Forecast

This code uses rolling window FIGARCH model estimates to compute forecasts.

In this code we use rolling window FIGARCH estimates obtained from other software to compute rolling window forecast. The results is a matrix of rolling window forecasts as showed in the screenshot, where number of curves is number of rolling windows and the x axis is length of the forecast. Simply speaking, in each time period we compute n periods ahead forecast using the estimate (obtained using other software).