gogarchroll-methods: function: GO-GARCH Rolling Estimation

Description Usage Arguments Value Author(s)

Description

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

Usage

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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, ...)

Arguments

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”).

...

.

Value

An object of class goGARCHroll.

Author(s)

Alexios Ghalanos


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