Description Usage Arguments Value Author(s) Examples
One-step ahead rolling forecasts with model re-estimation. The function also reports several quantity for backtesting for point and density forecasts.
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data |
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GASSpec |
An object of the class mGASSpec created using the function MultiGASSpec |
ForecastLength |
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Nstart |
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RefitEvery |
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RefitWindow |
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cluster |
A |
Compute.SE |
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... |
Additional arguments for MultiGASFit |
An object of the class mGASRoll
Leopoldo Catania
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 | ## Not run:
# Specify a GAS model with Multivariate Student-t conditional
# distribution and time-varying scale and correlation parameters
# stock returns Forecast
data("StockIndices")
mY = StockIndices[, 1:2]
# Specification mvt
GASSpec = MultiGASSpec(Dist = "mvt", ScalingType = "Identity",
GASPar = list(location = FALSE, scale = TRUE,
correlation = TRUE, shape = FALSE))
# Perform 1-step ahead rolling forecast with refit
library(parallel)
Roll = MultiGASRoll(mY, GASSpec, ForecastLength = 250,
RefitEvery = 100, RefitWindow = c("moving"))
Roll
## End(Not run)
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