uGARCHforecast-class: class: Univariate GARCH Forecast Class

In rugarch: Univariate GARCH Models

class: Univariate GARCH Forecast Class

Description

Class for the univariate GARCH forecast.

Objects from the Class

A virtual Class: No objects may be created from it.

Extends

Class GARCHforecast, directly. Class rGARCH, by class GARCHforecast, distance 2.

Methods

sigma

signature(x = "uGARCHforecast"): The n.ahead by n.roll+1 matrix of conditional sigma forecasts. The column names are the T[0] dates.

fitted

signature(x = "uGARCHforecast"): The n.ahead by n.roll+1 matrix of conditional mean forecasts. The column names are the T[0] dates.

quantile

signature(x = "uGARCHforecast"): Calculates and returns, given a scalar for the probability (additional argument “probs”), the conditional quantile of the forecast object as an n.ahead by n.roll+1 matrix (with the same type of headings as the sigma and fitted methods).

plot

signature(x = "uGARCHforecast", y = "missing"): Forecast plots with n.roll optional argument indicating the rolling sequence to plot.

fpm

signature(object = "uGARCHforecast"): Forecast performance measures.

show

signature(object = "uGARCHforecast"): Forecast summary returning the 0-roll frame only.

Note

Since versions 1.01-3, a sigma and fitted methods have been introduced which extract the n.ahead by (n.roll+1) matrix of conditional sigma and mean forecasts respectively, with column names the T[0] time index. This is unlike the old data.frame which returned the T+1 etc dates. These two methods are the default extractors in rugarch (used on estimated, filtered, forecast and simulation class objects) and the other methods, namely as.data.frame is now deprecated with the exception of a few classes where it is still used (uGARCHdistribution, uGARCHboot and uGARCHroll).
The plot method takes additional arguments which and n.roll indicating which roll frame to plot.
The fpm method returns the Mean Squared Error (MSE), Mean Absolute Error (MAE), Directional Accuracy (DAC) and number of points used for the calculation (N), of forecast versus realized returns, if the extra summary option is set to TRUE (default). This is a 4 x (n.roll+1) matrix, with row headings the T[0] time index, and requires at least 5 points to calculate the summary measures else will return NA. When n.ahead>1, this method calculates the measures on the n.ahead>1 unconditional forecast, but if n.ahead=1 with n.roll>4, it will calculate the measures on the rolling forecast instead. Finally, when summary is set to FALSE, the method will return a list of length n.roll+1 of xts objects with the loss functions (Squared Error and Absolute Error and Directional Hits).

Author(s)

Alexios Ghalanos

See Also

Classes uGARCHfit, uGARCHsim and uGARCHspec.

Examples

## Not run: 
# Basic GARCH(1,1) Spec
data(dmbp)
spec = ugarchspec()
fit = ugarchfit(data = dmbp[,1], spec = spec, out.sample = 100)
forc1 = ugarchforecast(fit, n.ahead=100, n.roll = 100)
forc
#plot(forc, which = "all")

## End(Not run)

rugarch documentation built on Sept. 30, 2024, 9:30 a.m.