I use the rugarch package to evaluate the GARCH model. I want to get rolling forecasts with a fixed horizon and a rating window with a fixed size. Therefore, I am testing the ugarchroll function with parameters as shown below.
rolling<-ugarchroll(specif, variable, n.ahead=1, n.start=1357, refit.every=1, window.size=1357, refit.window=c("moving"))
When I applied the as.data.frame(rolling) method, I get different columns, and I would like to know if the Mu column refers to conditional average forecasts?
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