'Simulation/Bootstrap Forecasting from Univariate GARCH Models

'Open the workfile
wfopen ".\xbtusd.wf1"

'Get rid of missing values
pagecontract if dlog(xbtusd)<>NA

'Visualize the price series
freeze(chart1,mode=overwrite) xbtusd.line
chart1.axis dual

'Visualize the log return series
freeze(chart2,mode=overwrite) dlog(xbtusd).line
chart2.axis dual

'Fit a simple univariate GARCH model for volatility
equation garchmodel.arch(backcast=1) dlog(xbtusd)*100 c 'GARCH(1,1) model with normal errors

'Visualize estimated conditional volatility
garchmodel.makegarch condvar
freeze(chart3,mode=overwrite) condvar.line
chart3.axis dual

'Forecast horizon
!nhor=22

'Restructure the end date of workfile to cover the forecast horizon
pagestruct(end=@last+!nhor) *

!nrep = 10000 'number of simulations
!per = 10 'percentile for confidence interval
garchmodel.simulugarch(method=2,nsim=!nrep,horizon=!nhor,percentile=!per,chart=2)