DCC_fore_Par: DCC_fore_Par

In 3schwartz/forecast:

Description

Simulate one day ahead forecast using DCC.

Usage

DCC_fore_Par(Period = Period, foreLength = foreLength,
  windowLength = windowLength, ARIMAfit = FALSE,
  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
outDir	Output dir
version	Version of dataset (if run multipe times and want to save each data)
Name	Name of asset (colname)
tickers	Name 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.