forecast.uvGARCH: Forecast Univariate GARCH Models

In GARPFRM: Global Association of Risk Professionals: Financial Risk Manager

Description

Forecasting for GARCH models fit via uvGARCH

Usage

## 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.