uGASFor-class: Class for the univariate GAS forecast object

In GAS: Generalized Autoregressive Score Models

Description

Class for the univariate GAS forecast object.

Objects from the Class

A virtual Class: No objects may be created from it.

Slots

Forecast:

Object of class list. Contains forecasts:

• PointForecast: matrix with parameters forecasts.

• Moments: matrix with centered moments forecasts.

• vLS: numeric Log Score (Predictive Log Likelihood).

• vU: numeric Out-of-sample Probability Integral Transformation (PIT).

Bands:

array with confidence bands parameters forecasts. Available only if Roll = TRUE.

Draws:

If ReturnsDraws = TRUE it is a iH x iB matrix of draws from the predictive distribution.

Info:

list with forecast information.

Data:

list with original data.

Methods

• show signature(object = 'uGASFor'): Show summary.

• plot signature(x = 'uGASFor', y = 'missing'): Plot forecasted quantities.

• getForecast signature(object = 'uGASFor'): Extract parameters forecast.

• getObs signature(object = 'uGASFor'): Extract original observations.

• pit signature(object = 'uGASFor'): Extract Probability Integral Transformation, only if Roll = TRUE.

• quantile signature(object = 'uGASFor'): Extract quantile forecasts. For multistep ahead prediction ES is computed by simulation and ReturnsDraws = TRUE should have been selected. It accepts the additional argument probs representing the vector of probabilities.

• ES signature(object = 'uGASFor'): Extract Expected Shortfall forecasts. For multistep ahead prediction ES is computed by simulation and ReturnsDraws = TRUE should have been selected. It accepts the additional argument probs representing the vector of probabilities.

• getMoments signature(object = 'uGASFor'): Extract moments forecasts.

• LogScore signature(object = 'uGASFor'): Extract Log Scores.

Author(s)

Leopoldo Catania

GAS documentation built on Feb. 4, 2022, 5:12 p.m.