sVARMApred: Prediction of a fitted multiplicative seasonal VARMA model

In d-/MTS: All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models

Prediction of a fitted multiplicative seasonal VARMA model

Description

Perform prediction of a seasonal VARMA model

Usage

sVARMApred(model,orig,h=1)

Arguments

model	An output of the sVARMA command
orig	The forecast origin.
h	The forecast horizon. For a given h, it computes 1-step to h-step ahead forecasts. Default is 1.

Details

Perform prediction of a fitted sVARMA model

Value

data	The original data matrix
pred	Forecasts
se.err	Standard errors of forecasts
orig	Return the forecast origin

Author(s)

Ruey S. Tsay

References

Tsay (2014, chapter 6). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.

d-/MTS documentation built on June 12, 2022, 12:50 a.m.