Description Objects from the Class Extends Methods Note Author(s) References See Also
Class for the univariate GARCH Bootstrap based Forecasts.
A virtual Class: No objects may be created from it.
Class "GARCHboot"
, directly.
Class "rGARCH"
, by class "GARCHboot", distance 2.
signature(x = "uGARCHboot")
: extracts various values from object (see note).
signature(x = "uGARCHboot", y = "missing")
: bootstrap forecast plots.
signature(object = "uGARCHboot")
: bootstrap forecast summary.
The as.data.frame
function takes optionally the arguments which
, being either “sigma”
or “series”, the argument type
, with the options “raw” for the bootstrapped series,
“summary” for summary statistics per n.ahead, and “q” for the quantiles of the n.ahead
bootstrapped series, for which the option qtile
is then required and takes a numeric vector of
quantiles (e.g. c(0.05, 0.95) ).
The plot method provides for a Parameter Density Plots (only valid for the “full” method),
and the series and sigma forecast plots with quantile error lines from the bootstrapped n.ahead distribution.
The plot option which
relates to either a numeric choice (1:3), an interactive choice (“ask”
which is the default) and an all plot choice (“all”) for which only plots 2 and 3 are included.
Alexios Ghalanos
Pascual, L., Romo, J., Ruiz, E., Bootstrap predictive inference for ARIMA processes, 2004,
Journal of Time Series Analysis.
Pascual, L., Romo, J., Ruiz, E., Bootstrap prediction for returns and volatilities in GARCH models,
2006, Computational Statistics and Data Analysis.
Classes uGARCHforecast
, uGARCHfit
and
uGARCHspec
.
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