r - Constant decreasing volatility, GARCH forecasting

I am trying to forecast the volatility using GARCH modelling in R.

I fit an ARMA(1,1)-GARCH(1,1) model, but my sigma predictions are constantly decreasing. Anybody know why?

predict(garch1,n.ahead=63)
    meanForecast  meanError standardDeviation
1  -0.0005595252 0.02732987        0.02732987
2   0.0014640502 0.02736439        0.02732390
3   0.0001896293 0.02737454        0.02731802
4   0.0009922427 0.02737510        0.02731222

5   0.0004867674 0.02737190        0.02730651
6   0.0008051090 0.02736726        0.02730088
7   0.0006046217 0.02736210        0.02729534
8   0.0007308860 0.02735678        0.02728988
9   0.0006513664 0.02735145        0.02728450
10  0.0007014468 0.02734615        0.02727919
11  0.0006699068 0.02734093        0.02727397
12  0.0006897703 0.02733577        0.02726882
13  0.0006772605 0.02733069        0.02726375
14  0.0006851390 0.02732568        0.02725875

15  0.0006801772 0.02732074        0.02725383
16  0.0006833021 0.02731588        0.02724898

Answer

Garch models are not good to predict "many" periods ahead, but for "very short" times.

If you want to predict 2 months from here, maybe you should be working with monthly data.

I did a similar exercise with some indexes (symb=c("^BVSP","^MERV","^DJA","^N225")) using daily returns from="1991/01/01", look the incredible predictions.