acdforecast-methods: ACD Model Forecast
In racd: Autoregressive Conditional Density Models

Description Usage Arguments Details Value Author(s)

Forecasting of ACD models.

acdforecast(fitORspec, data = NULL, n.ahead = 10, n.roll = 0,
out.sample = 0, external.forecasts = list(mregfor = NULL, 
vregfor = NULL, skregfor = NULL, shregfor = NULL), 
m.sim = 1000, cluster = NULL, skew0 = NULL, shape0 = NULL, ...)

`fitORspec`	A univariate ACD estimated object of class `ACDfit`, or an specification object of class `ACDspec` with fixed parameters
`data`	An xts dataset in the case when a specification is used.
`n.ahead`	The forecast horizon.
`n.roll`	The no. of rolling forecasts to create beyond the first one (see details).
`out.sample`	Used when a specification object with data is supplied.
`external.forecasts`	A list with forecasts for the (optional) external regressors in the mean, variance, skew and shape dynamics equations if specified.
`m.sim`	For n.ahead>1, forecast of the higher moments is done via simulation, in which case m.sim indicates the number of simulations per forecast to use for generating the average forecast value.
`cluster`	A pre-created cluster from the parallel package to use when simulation methods are called (for n.ahead>1).
`skew0`	Skew dynamics recursion initialization value in the case of a spec being supplied.
`shape0`	Shape dynamics recursion initialization value in the case of a spec being supplied.
`...`	For the multiplicative component sGARCH model (mcsGARCH), the additional argument ‘DailyVar’ is required and should be an xts object of the daily forecasted variance for the period under consideration to be used with the intraday data.

The ability to roll the forecast 1 step at a time is implemented with the n.roll argument which controls how many times to roll the n.ahead forecast. The default argument of n.roll = 0 denotes no rolling and returns the standard n.ahead forecast. Critically, since n.roll depends on data being available from which to base the rolling forecast, the acdfit function needs to be called with the argument out.sample being at least as large as the n.roll argument, or in the case of a specification being used instead of a fit object, the out.sample argument directly in the forecast function.

A ACDforecast object containing details of the ACD forecast.

Alexios Ghalanos

racd documentation built on May 2, 2019, 4:47 p.m.