gjrsk_fcst: This function forcasts conditional mean,variance,skewness and...

In GARCHSK: Estimating a GARCHSK Model and GJRSK Model

Description

This function forcasts conditional mean,variance,skewness and kurtosis with given GJRSK model.

Usage

gjrsk_fcst(params, data, max_forecast = 20)

Arguments

params	vector of GJRSK model parameters(p1,const2,p2,q2,r2,const3,p3,q3,r3,const4,p4,q4,r4)
data	vector time series data
max_forecast	how long does this function forecast(Default value is 20)

Value

list of predicted conditional mean,variance,skewness and kurtosis

GARCHSK documentation built on July 22, 2021, 9:08 a.m.