forecast.uvGARCH: Forecast Univariate GARCH Models

Description Usage Arguments Value Note

Description

Forecasting for GARCH models fit via uvGARCH

Usage

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## S3 method for class 'uvGARCH'
forecast(model, nAhead = 10, ..., nRoll = 0,
  externalForecasts = NULL)

Arguments

model

GARCH model fit via uvGARCH

nAhead

number of steps ahead to forecast

nRoll

number of rolling forecasts

externalForecasts

named list of external regressors in the mean and/or variance equations

...

additional parameters passed to ugarchforecast

Value

a uGARCHforecast object with the GARCH forecast data

Note

For rolling forecasts specified with the nRoll argument, the GARCH model must be fit with outSample argument greater than or equal to nRoll.


GARPFRM documentation built on May 2, 2019, 5:45 p.m.