multi_step_ahead_pred: Multi-step-ahead predictions of the GARCH-MIDAS-based models...

In rumidas: Univariate GARCH-MIDAS, Double-Asymmetric GARCH-MIDAS and MEM-MIDAS

Multi–step–ahead predictions of the GARCH–MIDAS–based models with and without the '–X' part.

Description

Calculates the multi–step–ahead predictions for the GARCH–MIDAS and DAGM models, according to the procedure suggested by \insertCiteamendola_candila_gallo_2020;textualrumidas.

Usage

multi_step_ahead_pred(est, h, X = NULL)

Arguments

est	The estimation object as resulting by the ugmfit function
h	The length of the multi-step-ahead predictions
X	optional. The '–X' variable. NULL by default. It hat to be equal to the 'X' used in the ugmfit function

Details

The multi–step–ahead procedure calculates the volatility predictions keeping fixed the information set at the last observation available and projecting forward the forecasts. The procedure calculates the volatility predictions conditionally to the parameters estimated in the in-sample period. Therefore, the estimation object (through the ugmfit function) has to be provided. For additional details, see Eq. (20) in \insertCiteamendola_candila_gallo_2020;textualrumidas.

Value

The multi-step-ahead predictions, for the following h days, starting from the last day of the chosen in-sample period adopted in the 'est' object.

References

\insertAllCited

Examples

r_t<-sp500['2008']
X<-(rv5['2008'])^0.5
mv_m<-mv_into_mat(r_t,diff(indpro),K=12,"monthly") 
fit<-ugmfit(model="GMX",skew="YES",distribution="norm",r_t,mv_m,K=12,X=X)
### ten days predictions
multi_step_ahead_pred(fit,h=10,X)

rumidas documentation built on April 4, 2025, 1:01 a.m.