armagarchf: ARMA(1, 1)-GARCH(1, 1) forecasting (with simulation)

In Techtonique/ahead: Time Series Forecasting with uncertainty quantification

ARMA(1, 1)-GARCH(1, 1) forecasting (with simulation)

Description

ARMA(1, 1)-GARCH(1, 1) forecasting (with simulation)

Usage

armagarchf(
  y,
  h = 5,
  level = 95,
  B = 250,
  cl = 1L,
  dist = c("student", "gaussian"),
  seed = 123
)

Arguments

y	a univariate time series
h	number of periods for forecasting
level	confidence level for prediction intervals
B	number of simulations for arima.sim
cl	an integer; the number of clusters for parallel execution
dist	distribution of innovations ("student" or "gaussian")
seed	reproducibility seed

Value

An object of class "forecast"; a list containing the following elements:

model	A list containing information about the fitted model
method	The name of the forecasting method as a character string
mean	Point forecasts for the time series
lower	Lower bound for prediction interval
upper	Upper bound for prediction interval
x	The original time series
sims	Simulations of ARMA(1, 1)-GARCH(1, 1)

Author(s)

T. Moudiki

Examples

y <- datasets::EuStockMarkets[ , "DAX"]
log_returns <- ts(log(y[-1]/y[-length(y)]))

# require(forecast)
# z <- ahead::armagarchf(y=log_returns, h=200)
# plot(z)

Techtonique/ahead documentation built on Nov. 24, 2024, 10:33 a.m.