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 = FALSE,
  BRWlist = NULL,
  Folder2save = NULL,
  verbose = TRUE
)

Arguments

ModelType	character. Model type to be estimated. Permissible choices: "JPS original", "JPS global", "GVAR single", "JPS multi", "GVAR multi", "JLL original", "JLL No DomUnit", "JLL joint Sigma".
ModelPara	list. Point estimates of the model parameters. See outputs from Optimization.
InputsForOutputs	list. Inputs for generating IRFs, GIRFs, FEVDs, GFEVDs, and Term Premia.
FactorLabels	list. Labels for all variables present in the model, as returned by LabFac.
Economies	character vector. Names of the C economies included in the system.
JLLlist	list. Inputs for JLL model estimation (see JLL). Default is NULL.
GVARlist	list. Inputs for GVAR model estimation (see GVAR). Default is NULL.
WishBRW	logical. Whether to estimate the physical parameter model with bias correction (see Bias_Correc_VAR). Default is FALSE.
BRWlist	list. Inputs for bias-corrected estimation (see Bias_Correc_VAR).
Folder2save	character. Folder path where outputs will be stored. Default saves outputs in a temporary directory.
verbose	logical. Print progress messages. Default is TRUE.

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

Permissible options - forecast list (InputsForOutputs input)

• ForHoriz: forecast horizon. Must be a positive integer.

• t0Sample: initial sample date. Must be a positive integer smaller than the time series dimension of the model (Td)

• t0Forecast: last sample date for the first forecast. Note that Td > t0Forecast + ForHoriz.

• ForType: "Rolling" (rolling window forecast) or "Expanding" (for expanding window forecast)

Available Methods

- 'plot(object)'

Examples

data("ParaSetEx")
data("InpForOutEx")
# Adjust inputs according to the loaded features
ModelType <- "JPS original"
Economy <- "Brazil"
FacLab <- LabFac(N = 1, DomVar = "Eco_Act", GlobalVar = "Gl_Eco_Act", Economy, ModelType)
 # Adjust Forecasting setting
InpForOutEx[[ModelType]]$Forecasting <- list(
  WishForecast = 1, ForHoriz = 12, t0Sample = 1,
  t0Forecast = 143, ForType = "Expanding"
)

Forecast <- ForecastYields(ModelType, ParaSetEx, InpForOutEx, FacLab, Economy,
  WishBRW = FALSE, verbose = TRUE
)

MultiATSM documentation built on Nov. 5, 2025, 7:01 p.m.