ldhmm.forecast_volatility: Computing the volatility forecast for next one period

In ldhmm: Hidden Markov Model for Financial Time-Series Based on Lambda Distribution

Computing the volatility forecast for next one period

Description

This utility computes the volatility forecast based on the given future observations for next one period.

Usage

ldhmm.forecast_volatility(object, x, xf, ma.order = 0, days.pa = 252)

Arguments

object	an ldhmm object
x	numeric, the observations.
xf	numeric, the future observations to be forecasted.
ma.order	a positive integer or zero, specifying order of moving average. Default is zero.
days.pa	a positive integer specifying trading days per year, default is 252.

Value

matrix of future observations and volatilities, size of 2 times length of xf.

Author(s)

Stephen H. Lihn

ldhmm documentation built on May 29, 2024, 7:05 a.m.