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

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

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 Jan. 11, 2020, 9:16 a.m.