HARForecast-class: HARForecast

In emilsjoerup/HARModel: Heterogeneous Autoregressive Models

HARForecast

Description

Class for HARForecast object

Objects from the Class

A virtual Class: No objects may be created from it

Slots

model:

Object of class HARModel. see HARModel

forecast:

Object of class matrix containing the forecasted series

info:

Object of class list cointaining:

• elapsedTime: Object of class difftime containing the time elapsed in seconds

• rolls: Integer containing the amount of rolls done in the forecasting routine

• horizon: Integer containing the length of the horizon used for forecasting during each of the rolls

data:

Object of class list containing:

• dates:Object of type Integer or Date containing the indices of the forecasted series either in integer or date format

• observations:Object of type numeric or xts containing the in-sample observations

• forecastComparison: Object of type numeric or xts containing the observations kept out of sample for the first roll

Methods

show:

signature(object = "HARForecast"): Shows summary

plot:

signature(x = "HARForecast", y = "missing"): Plot the out of sample observed series with the forecasts overlayed

uncmean:

signature(object = "HARForecast"): Extracts the unconditional mean from the Model

coef:

signature(object = "HARForecast"): Extracts the coefficients from the first estimated Model

qlike:

signature(object = "HARForecast"): Calculate the out of sample 'qlike' loss function for a HARForecast object

forecastres:

signature(object = "HARForecast"): Retrieve the forecast residuals from HARForecast object

forc:

signature(object = "HARForecast"): Retrieve the forecasted series.

Author(s)

Emil Sjoerup

emilsjoerup/HARModel documentation built on Jan. 24, 2023, 12:17 a.m.