predict.stochvolTMB: Predict future returns and future volatilities

In stochvolTMB: Likelihood Estimation of Stochastic Volatility Models

Predict future returns and future volatilities

Description

Takes a stochvolTMB object and produces draws from the predictive distribution of the latent volatility and future log-returns.

Usage

## S3 method for class 'stochvolTMB'
predict(object, steps = 1L, nsim = 10000, include_parameters = TRUE, ...)

Arguments

object	A stochvolTMB object returned from estimate_parameters.
steps	Integer specifying number of steps to predict.
nsim	Number of draws from the predictive distribution.
include_parameters	Logical value indicating if fixed parameters should be simulated from their asymptotic distribution, i.e. multivariate normal with inverse hessian as covariance matrix.
...	Not is use.

Value

List of simulated values from the predictive distribution of the latent volatilities and log-returns.

stochvolTMB documentation built on April 4, 2025, 2:05 a.m.