VARMA Prediction

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Description

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

Usage

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

Arguments

model

A fitted VARMA model

h

Number of steps of frecasts, 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.

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