Description Usage Arguments Value
Simulate one day ahead forecast using dynamic copula.
1 2 3 4 | Cop_sim_Par(Period = Period, foreLength = foreLength,
windowLength = windowLength, ARIMAfit = FALSE, m.sim = 1000,
outDir = "./output/", version = "v1", Name = NULL,
tickers = tickers)
|
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 |
Write to files position each day and its cumulative return
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