Cop_sim_Par: Cop_sim_Par

Description Usage Arguments Value

Description

Simulate one day ahead forecast using dynamic copula.

Usage

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Cop_sim_Par(Period = Period, foreLength = foreLength,
  windowLength = windowLength, ARIMAfit = FALSE, m.sim = 1000,
  outDir = "./output/", version = "v1", Name = NULL,
  tickers = tickers)

Arguments

Period

xts object of log returns or other risk measures

foreLength

length of forecast

windowLength

length of window used for fitting

ARIMAfit

If true, then an ARIMA will be fit for each iterations. Else a ARMA(2,1) is used

m.sim

Number of simualtions

outDir

Output dir

version

Version of dataset (if run multipe times and want to save each data)

Name

Name of asset (colname)

tickers

Names of columns

Value

Write to files position each day and its cumulative return


3schwartz/forecast documentation built on May 13, 2019, 1:13 p.m.