gogarchforecast-methods: function: GO-GARCH Forecast

In rgarch: Flexible GARCH modelling in R

Description

Method for forecasting from the GO-GARCH model.

Usage

gogarchforecast(fit, n.ahead = 10, n.roll = 0, external.forecasts = list(mregfor = NULL), 
parallel = FALSE, parallel.control = list(pkg = c("multicore", "snowfall"), cores = 2), ...) 

Arguments

fit	A GO-GARCH fit object of class goGARCHfit.
n.ahead	The forecast horizon.
n.roll	The no. of rolling forecasts to create beyond the first one.
external.forecasts	A list with a matrix object of the external lagged forecasts (if used). These must contain (n.roll+1) x n.ahead forecasts.
parallel	Whether to make use of parallel processing on multicore systems.
parallel.control	The parallel control options including the type of package for performing the parallel calculations (‘multicore’ for non-windows O/S and ‘snowfall’ for all O/S), and the number of cores to make use of.
...	.

Value

A goGARCHforecast object containing details of the GO-GARCH forecast.

Author(s)

Alexios Ghalanos

Examples

## Not run: 
data(dji30ret)
spec = gogarchspec()
fit = gogarchfit(spec = spec, data = dji30ret[,1:4], out.sample = 10, gfun = "tanh")
forecast = gogarchforecast(fit, n.ahead = 1, n.roll = 9)

## End(Not run)

rgarch documentation built on May 2, 2019, 5:22 p.m.