gogarchroll-methods: function: GO-GARCH Rolling Estimation
In rgarch: Flexible GARCH modelling in R

Description Usage Arguments Value Author(s)

Method for performing rolling estimation of the GO-GARCH model.

gogarchroll(spec, data, n.ahead = 1, forecast.length = 50, refit.every = 25, 
refit.window = c("recursive", "moving"), parallel = FALSE, 
parallel.control = list(pkg = c("multicore", "snowfall"), cores = 2), solver = "solnp",
external.forecasts = list(mregfor = NULL), fit.control = list(), solver.control = list(), 
rseed = NULL, save.fit = FALSE, save.wdir = NULL, ...)

`spec`	A GO-GARCH spec object of class `goGARCHspec`.
`data`	A multivariate data object. Can be a matrix or data.frame or timeSeries.
`n.ahead`	The forecast horizon (only 1-ahead supported for rolling forecasts).
`forecast.length`	The length of the total forecast for which out of sample data from the dataset will be excluded for testing.
`refit.every`	Determines every how many periods the model is re-estimated.
`refit.window`	Whether the refit is done on an expaning window including all the previous data or a moving window, the length of the window determined by the argument above (“refit.every”).
`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.
`solver`	The solver to use.
`external.forecasts`	A list of external.regressor forecast matrices for the conditional mean equation (mregfor).
`fit.control`	Control parameters parameters passed to the fiting function.
`solver.control`	Control parameters passed to the solver.
`rseed`	Initialization seed for first ICA fit. The rest of the ICA fits are initialized with the previous mixing matrix (using A.init).
`save.fit`	Whether to save the fitted objects of class `goGARCHfit` during the estimation of each (“refit.every”). If true, the directory to save must be provided (see below). The function will not save this by default for reasons of memory management, but can save it as an “.rda” file in the user's chosen directory for further analysis.
`save.wdir`	If “save.fit” is true, the directory in which to save the `goGARCHfit` objects (1 for each “refit.every”).
`...`	.