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Ok so I finally got around to modifying the code in that post you linked to and then realised it (obviously) produces a dynamic forecast of the conditional variances/covariance, but what I require is a static forecast (though I forgot to make this clear in my original post). Is there any way of modi...

Wow thanks for the quick reply. Don't know how I managed to miss that previous thread - I thought I searched both this forum and the programming forum for both ARCH and GARCH. Just been one of those days I guess.

Mark

Ok so I have hit a bit of a wall and was wondering whether anyone may be able to offer some advice. My problem is that I am doing some work on hedging using futures contracts, specifically constructing out-of-sample estimates for the optimal hedge ratio. As a starting point I am jointly modelling th...