yhIterate: yhIterate function

In miscFuncs: Miscellaneous Useful Functions Including LaTeX Tables, Kalman Filtering, QQplots with Simulation-Based Confidence Intervals, Linear Regression Diagnostics and Development Tools

yhIterate function

Description

A function to perform forecasting of the series, used by fcastGARCH

Usage

yhIterate(i, current, pars, eps, omega)

Arguments

i	the index of the forward lags
current	current matrix of (y,h)
pars	parameters for the GARCH model, these would come from an MCMC run
eps	matrix of Gaussian noise, dimension equal to number of MCMC iterations by the number of forecast lags
omega	matrix of Inverse Gamma noise, dimension equal to number of MCMC iterations by the number of forecast lags

Value

two column matrix containing forecast y (1st column) and updated h (2nd column)

miscFuncs documentation built on April 3, 2025, 6:04 p.m.