multiforecast-methods: function: Univariate GARCH and ARFIMA Multiple Forecasting

In rgarch: Flexible GARCH modelling in R

Description

Method for multiple forecasting from a variety of univariate GARCH and ARFIMA models.

Usage

multiforecast(multifitORspec, data = NULL, n.ahead = 1, n.roll = 0, out.sample = 0, 
external.forecasts = list(mregfor = NULL, vregfor = NULL), parallel = FALSE, 
parallel.control = list(pkg = c("multicore", "snowfall"), cores = 2), ...)

Arguments

multifitORspec	Either a univariate GARCH or ARFIMA multiple fit object uGARCHmultifit and ARFIMAmultifit, or alternatively a univariate GARCH or ARFIMA multiple specification object of class uGARCHmultispec and ARFIMAmultispec with valid parameters supplied via the fixed.pars argument in the individual specifications.
data	Required if a multiple specification rather than a multiple fit object is supplied. A multivariate data object. Can be a matrix or data.frame object, no other class supported at present.
n.ahead	The forecast horizon.
n.roll	The no. of rolling forecasts to create beyond the first one.
out.sample	Optional. If a specification object is supplied, indicates how many data points to keep for out of sample testing. If this is not a vector equal to the column dimension of the data, then it wil be replicated to that dimension, else it must be of same length as the data column dimension.
external.forecasts	A list with forecasts for the external regressors in the mean and/or variance equations if specified.
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 uGARCHmultiforecast or ARFIMAmultiforecast object containing details of the multiple GARCH or ARFIMA forecasts. See the class for details. Currently there are no additional methods at use to access the object's dataset, but these may be added in the future.

Author(s)

Alexios Ghalanos

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