Description Usage Arguments Value Author(s)
Method for multiple forecasting from a variety of univariate GARCH and ARFIMA models.
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multifitORspec |
Either a univariate GARCH or ARFIMA multiple fit object |
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. |
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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.
Alexios Ghalanos
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