ForecastYields: Generates forecasts of bond yields for all model types

In MultiATSM: Multicountry Term Structure of Interest Rates Models

Generates forecasts of bond yields for all model types

Description

Generates forecasts of bond yields for all model types

Usage

ForecastYields(
  ModelType,
  ModelPara,
  InputsForOutputs,
  FactorLabels,
  Economies,
  JLLlist = NULL,
  GVARlist = NULL,
  WishBRW,
  BRWlist = NULL
)

Arguments

ModelType	A character vector indicating the model type to be estimated.
ModelPara	A list containing the point estimates of the model parameters. For details, refer to the outputs from the Optimization function.
InputsForOutputs	A list containing the necessary inputs for generating IRFs, GIRFs, FEVDs, GFEVDs and Term Premia.
FactorLabels	A list of character vectors with labels for all variables in the model.
Economies	A character vector containing the names of the economies included in the system.
JLLlist	A list of necessary inputs for the estimation of JLL-based models (see the JLL function).
GVARlist	A list containing the necessary inputs for the estimation of GVAR-based models (see the GVAR function).
WishBRW	Whether to estimate the physical parameter model with bias correction, based on the method by Bauer, Rudebusch and Wu (2012) (see Bias_Correc_VAR function). Default is set to 0.
BRWlist	List of necessary inputs for performing the bias-corrected estimation (see Bias_Correc_VAR function).

Value

An object of class 'ATSMModelForecast' containing the following elements:

1. Out-of-sample forecasts of bond yields per forecast horizon

2. Out-of-sample forecast errors of bond yields per forecast horizon

3. Root mean square errors per forecast horizon

Available Methods

- 'plot(object)'

Examples

# See an example of implementation in the vignette file of this package (Section 4).

MultiATSM documentation built on April 4, 2025, 1:40 a.m.