VAR_fore_Par: VAR_fore_Par
In 3schwartz/forecast:
Description
Usage
Arguments
Value
Description
Forecast oneday ahead VAR and backtest
Usage
1
2
3
VAR_fore_Par(Period = Period, foreLength = foreLength,
windowLength = windowLength, 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
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.
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Description Usage Arguments Value
Description
Forecast oneday ahead VAR and backtest
Usage
1 2 3 | VAR_fore_Par(Period = Period, foreLength = foreLength,
windowLength = windowLength, 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 |
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
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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