mse: Mean Squared Error

In LFUrmutils: LFU Risk Management Utilities

Description

Computes the mean squared error for various models.

Usage

mse(object, ...)
## S3 method for class 'UnivVola'
mse(object, ...)
## S3 method for class 'MultiEWMA'
mse(object, ...)
## S3 method for class 'fGARCH'
mse(object, ...)

Arguments

object	An object of class UnivVola, MultiEWMA or fGARCH.
...	Arguments passed to methods (unused at the moment).

Value

MSE of the corresponding model.

Author(s)

Bernhard Eder

References

Jorion (2007). Value at Risk, 3rd. McGraw-Hill. New York.

See Also

UnivVola, MultiEWMA, garchFit

Examples

# Load returns
data("CRSPday_zoo")
y <- CRSPday_zoo

# Compute univariate volatility model
ma <- UnivVola(y[, 1], type = "MovingAverage", center = TRUE)

# Compute MSE
mse(ma)

LFUrmutils documentation built on Jan. 3, 2020, 3 a.m.