rolling_gas: Rolling GAS

In MislavSag/mlfinance: Machine learning in finance

Description

Function calculates GAS risk values from GAS package on rolling window.

Usage

rolling_gas(
  prices_panel,
  row_index = 1:nrow(prices_panel),
  windows = c(200),
  workers = 4L,
  gas_dist = "sstd",
  gas_scaling = "Identity",
  prediction_horizont = 22
)

Arguments

prices_panel	a data.table object with columns: symbol, datetime, close.
row_index	row index for which to calculate radf values.
windows	Length of window for calculating forecasts on rolling window.
workers	Number of workers for parallel processing
gas_dist	Dist parametere in UniGASSpec fucntionUniGASSpec.
gas_scaling	Scaling parametere in UniGASSpec fucntionUniGASSpec.
prediction_horizont	GAS prediction horizont.

Value

Data.table with new features

MislavSag/mlfinance documentation built on Sept. 14, 2021, 1:11 p.m.