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I don't have actual data over the forecast period. But I am only trying to forecast the next blank datapoint. i.e. I have data up to time t, and want to estimate a data point for t+1. I would have thought this wouldn't be a problem, since I have data enough data previously to feed into the 1 step ah...

Then you cannot perform a static forecast.

Can you explain why? If I am just trying to perform a 1 step ahead forecast, I have all the data required to produce a forecast.

Is it something in the GARCH specification that prevents a one step forecast from being run?

thank you

Thanks for your reply.

I have some blank sample space in order to make room for forecasts. And I am forcasting 1 step ahead, so I don't have data for this period.

This attachment might help.

These are the fitted,actuals and residuals. From 2010M9 the fitted pretty much exactly match the actuals, so something is up here.

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