VARMApred: VARMA Prediction

In MTS: All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models

VARMA Prediction

Description

Compute forecasts and their associate forecast error covariances of a VARMA model

Usage

VARMApred(model, h = 1, orig = 0)

Arguments

model	A fitted VARMA model
h	Number of steps of forecasts, i.e., forecast horizon.
orig	Forecast origin. Default is the end of the sample.

Value

pred	Predictions
se.err	Standard errors of forecasts
orig	Forecast origin

Author(s)

Ruey S. Tsay

References

Tsay (2014, Chapter 3). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.

MTS documentation built on April 11, 2022, 5:07 p.m.